R/methods-residuals.R

In fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

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# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
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# GNU Library General Public License for more details.
#
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################################################################################
# METHOD:                 EXTRACTORS:
#  residuals.fGARCH        S4 residuals method for an object of class 'fGARCH'
################################################################################


setMethod(f = "residuals", signature(object = "fGARCH"), definition =
    function(object, standardize = FALSE)
{
    # A function implemented by Diethelm Wuertz

    # Description:
    #   S4 Residuals method for an object of class fGARCH

    # Arguments:
    #   object - an object of class fGarch as returned by the
    #       function garchFit
    #   ... - optional argument to be passed, this may be standardize=FALSE
    #       to return the -non-standardized values of the residuals.
    #       By default standardized residuals will be returned.

    # FUNCTION:


    # Residuals:
    if (standardize) {
        ans = object@residuals/object@sigma.t
    } else {
        ans = object@residuals
    }

    # Return Value:
    ans

})


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