residuals.tsmarch: Extract Model Residuals

In tsmarch: Multivariate ARCH Models

Extract Model Residuals

Description

Extract the residuals of the estimated model.

Usage

## S3 method for class 'cgarch.estimate'
residuals(object, standardize = FALSE, type = "standard", ...)

## S3 method for class 'dcc.estimate'
residuals(object, standardize = FALSE, type = "standard", ...)

## S3 method for class 'gogarch.estimate'
residuals(object, standardize = FALSE, type = "standard", ...)

Arguments

object	an object of class “cgarch.estimate”, “dcc.estimate” or “gogarch.estimate”
standardize	logical. Whether to standardize the residuals by the conditional volatility (only valid for the “standard” type).
type	a choice of “standard” (default), “model”, or “whitened” residuals. The first choice is the default and represents the residuals from the first stage univariate GARCH models. The second choice is only useful for the copula model and represents the residuals from the copula after the transformation. In the case of the DCC model this will return the standard type residuals (since they are the same). The last choice represents the whitened (ZCA based) residuals which are the standard residuals multiplied by the inverse of the square root of the conditional covariance matrix.
...	not currently used.

Value

An xts matrix.

Note

In the case of the GOGARCH model, the residuals are calculated as \varepsilon A, where A is the mixing matrix applied to the independent component residuals. These will be equal to the residuals of the original series only if there is no dimensionality reduction.

tsmarch documentation built on April 3, 2025, 7:40 p.m.