Hi,

In the summary function of fGarch, I would suggest that standardised residuals are computed as:

r.s = object@residuals/object@sigma.t

because r.s = object@residuals/sqrt(object@h.t) is wrong for aparch models, in which it does not hold that sigma = h^(1/2). The correct expression that holds in general is: sigma = h^(1/delta).

In fGarch 260.72 sigma.t is calculated as: (.series$h)^deltainv, where deltainv = 1/fit$params$delta. However, fit$params$delta does not get updated with coefficient estimates and thus is always equal to 2. This leads to wrong calculation of sigma.t, which is always equal to h^(1/2).
Has this problem been solved in the development version of Rmetrics (fGarch)?

Thanks for your answer.

Best regards

Michal Miklovic




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