[R-SIG-Finance] [rugarch package] SIgn Bias Test

[Zirael]

Thanks for help! It's clear to me now :-)

Dnia 24 maja 2014 22:18 alexios ghalanos <alexios at 4dscape.com> napisał(a):

> 1\. Actually, in the paper it is the squared standardized innovations
> (z^2) against the non-standardized innovations (residuals) multiplied by
> the sign.
> 2\. "fitted" is not what is defined as 'y(t)-mi(theta, x(t))'. This is
> called "residuals".
> 3\. The vignette has a typo. The actual test (.signbiasTest) in the
> rugarch-tests.R file uses the residuals not the standardized residuals
> for the right hand side.
> 
> -Alexios
> 
> On 24/05/2014 20:44, Zirael wrote:
> > Hi,
> > 
> > I have a question about the regression used in the Sign Bias test of> Engle
> > and Ng. In the original paper the regression is for squared standardized
> > residuals but not against their non-squared values (as it is described> in
> > the "introduction" to rugarch package) - in the paper it is against the
> > innovations (y(t)). Is it the same?
> > 
> > Or should we even rather use here the "fitted" values of innovations
> > (y^(t)= y(t)-mi(theta,x(t)), because in fact the standardized residuals
> > come grom ARMA-GARCH model, not GARCH itself, as it is in the original
> > paper od Engle and Ng. 
> > 
> > Many thanks for any help. 
> > 
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> >
>