[R-SIG-Finance] rmgarch gogarchFit standardized residuals

[alexios ghalanos]

 From the documentation:
 >?'goGARCHfit-class'

residuals
signature(object = "goGARCHfit"): Extracts the conditional mean equation 
residuals.
(does not say standardized residuals)

rcov
signature(object = "goGARCHfit"): Returns the time-varying NxN 
covariance matrix in array format.

You can them make use of the rmgarch:::.sqrtm function to obtain the 
square root of the covariance matrix at each time t, then invert it 
(solve) and matrix multiply the residuals[t] by that.

I think this should be sufficient information to proceed with the 
standardization.

Alexios

On 06/11/2014 15:22, Ed Herranz wrote:
> All,
>
> I am using gogarchFit in the rmgarch package.  I am trying to analyze the
> standardized residuals of a gogarch model (which I think should be the
> returns times the inverse square root conditional variance matrix.)
>
> When I look at the source code for the residuals in rmgarch it seems these
> are not standardized.)  Also I don't know how to extract the conditional
> variance matrix from gogarchFit to do the calculation myself.  [ I want to
> compute the acf() of the squared normalized residuals.]
>
> I would appreciate any help with this.
>
> Many thanks,
> -Ed
>
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