[R-SIG-Finance] Function ugarchroll in Package rugarch

[Wei-han Liu]

Hi R users:

 I am trying and learning the Package ‘rugarch.’ Function ugarchroll helps create the rolling density forecast from ARMA-GARCH models with option for refitting

every n periods with parallel functionality. A nice example of application is posted on this webpage: A short introduction to the rugarch package

 Could some people show how to extract all the residuals in every refitting after fitting ugarchroll function? I do not find a specific command for that purpose in the documentation.





CHEERS!


Weihan
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