[R] Residuals in garch (tseries)

ZuckerRahmen yveslaessig at web.de
Mon Sep 30 11:31:06 CEST 2013


Hello,

i'm currently working with the 'garch' function provided by the 'tseries'
package in R.

If you want to fit a time series you can call the function this way
fit = garch(data, order=c(1,1)).

A GARCH model delivers you a vector of sd's sigma and therefore confidence
intervals for your data. You can get them from the function output by
calling fit$fitted.values. 

You can also get some kind of residuals with fit$residuals and here is my
question: does anybody know how they are computed?

Normally some would say residuals = data - model, but for GARCH modelling
there is no exact model for the data but the confidence interval mentioned
above.

To compare the residuals I got here from the GARCH modelling to other models
I really need to know how they are computed, but the R documentary doesn't
provide an answer.

Anyone got a clue?

Thanks for any help in advance.



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