Displaying 1 result from an estimated 1 matches for "sresi".
Did you mean:
sesi
2010 Mar 17
1
Reg GARCH+ARIMA
...esiduals
acf((fit.res-mean(fit.res))/sd(fit.res))
acf(((fit.res-mean(fit.res))/sd(fit.res))^2)
fit.fore = predict(fit, n.ahead=test)
##Use ARIMA GARCH To fit residuals from ARIMA Model
1.
fitted.gar<-garchFit(formula =~arma(2,1)+garch(1,1),data=*fit.res*,cond.dist
= "std",trace=FALSE)
sresi=fitted.gar@residuals/fitted.gar@sigma.t ###Standardised Residuals
acf(sresi)
acf(sresi^2)
fore.res<-predict(fitted.ga, n.ahead=test)
OR
2.
fitted.gar<-garchFit(formula =~arma(2,1)+garch(1,1),data=*delta*,cond.dist =
"std",trace=FALSE)
sresi=fitted.gar@residuals/fitted.gar@sigma.t...