R help - Sep 2013 - Residuals in garch (tseries)

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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Hello,

To know how something in R is computed, download the sources and read 
the respective function code.
That's one of the benefits of open source software, you can know exactly 
what is going on.


Hope this helps,

Rui Barradas

Em 30-09-2013 10:31, ZuckerRahmen escreveu:
> 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.
>
>
>
> --
> View this message in context:
http://r.789695.n4.nabble.com/Residuals-in-garch-tseries-tp4677241.html
> Sent from the R help mailing list archive at Nabble.com.
>
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