Shing Hing Man
2004-Sep-06 22:11 UTC
[R] How the residuals are calculated in a fitted ARCH(1) model.
I have used garch in package tseries to fit an ARCH(1) model X_{t} = sigma_{t} e_{t}, where e_{t} ~ N(0,1) sigma_{t}^2 = b0 + b1*X_{t-1}^2 to a set of data. Can anyone please tell me how the residuals are calculated. At first I thought the residuals are the usual residuals when we do linear regression X_{t}^2 on X_{t-1}^2. Thanks in advance for your assistance ! ====Home page : http://uk.geocities.com/matmsh/index.html