residuals: Extract Model Residuals

residuals.tsgarch.estimateR Documentation

Extract Model Residuals

Description

Extract the residuals of the estimated model.

Usage

## S3 method for class 'tsgarch.estimate'
residuals(object, standardize = FALSE, ...)

## S3 method for class 'tsgarch.multi_estimate'
residuals(object, standardize = FALSE, ...)

Arguments

object

an object of class “tsgarch.estimate” or “tsgarch.multi_estimate”.

standardize

logical. Whether to standardize the residuals by the conditional volatility.

...

not currently used.

Value

An xts vector of the model residuals for the univariate type objects. In the case of a multi-estimate object, a list of xts vectors is returned if the individual univariate objects have unequal indices, else an xts matrix is returned. Note that If the model had no constant in the conditional mean equation then this just returns the original data (which is assumed to be zero mean noise).


tsgarch documentation built on Oct. 12, 2024, 1:07 a.m.