residuals: Residuals of volatility models

In LFUrmutils: LFU Risk Management Utilities

Description

Function to compute the residuals of univariate or multivariate volatility models. Currently only implemented for objects of class UnivVola or MultiEWMA.

Usage

## S3 method for class 'UnivVola'
residuals(object, standardize = TRUE, na.action = "na.pass", ...)
## S3 method for class 'MultiEWMA'
residuals(object, standardize = TRUE, na.action = "na.pass", ...)

Arguments

object	Object of class UnivVola or MultiEWMA.
standardize	Should standardized residuals be computed (TRUE, the default) or not (FALSE).
na.action	NA handling. See na.action for further details.
...	Arguments passed to methods.

Details

By default standardized residuals are computed. For comparability reasons with the function residuals() from package fGarch, non-standardized residuals can be computed as well. Depending on the data used to compute the volatility models, the non-standardized residuals will either correspond to the return series or the residuals of the conditional mean model.

Value

A zoo object containing the residuals for each return series.

Author(s)

Bernhard Eder

References

Danielsson (2011). Financial Risk Forecasting. Wiley. Chichester.
Jorion (2007). Value at Risk, 3rd. McGraw-Hill. New York.
Ruppert and Matteson (2015). Statistics and Data Analysis for Financial Engineering, 2nd. Springer. New York.

See Also

UnivVola, MultiEWMA.

Examples

# Load returns
data("CRSPday_zoo")
y <- CRSPday_zoo

# Compute multivariate EWMA model (RiskMetrics)
EWMA <- MultiEWMA(y, center = TRUE)

# Compute and plot standardized residuals
EWMAres <- residuals(EWMA)
plot(EWMAres)

LFUrmutils documentation built on Jan. 3, 2020, 3 a.m.