roll_residuals: Extract fitted standardized residuals from a uGARCHroll...
In portvine: Vine Based (Un)Conditional Portfolio Risk Measure Estimation
roll_residuals R Documentation
Extract fitted standardized residuals from a uGARCHroll object
Description
The rugarch::ugarchroll class object encompasses fitting information
about a number of
models fitted in a rolling window fashion. This utility function gives an
easy interface to extract the fitted residuals from one of these models.
This can be especially helpful for assessing the model quality with a
residual analysis.
Usage
roll_residuals(ugarchroll, roll_num = 1)
Arguments
ugarchroll
Object of class rugarch::ugarchroll.
roll_num
Count that specifies the fitted model to extract the
residuals from.
Value
Numeric vector of the fitted standardized residuals.
portvine documentation built on May 29, 2024, 2:27 a.m.
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| roll_residuals | R Documentation |
Extract fitted standardized residuals from a uGARCHroll object
Description
The rugarch::ugarchroll class object encompasses fitting information
about a number of
models fitted in a rolling window fashion. This utility function gives an
easy interface to extract the fitted residuals from one of these models.
This can be especially helpful for assessing the model quality with a
residual analysis.
Usage
roll_residuals(ugarchroll, roll_num = 1)
Arguments
ugarchroll |
Object of class |
roll_num |
Count that specifies the fitted model to extract the residuals from. |
Value
Numeric vector of the fitted standardized residuals.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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