Extract GARCH Model Residuals
Extracts residuals from a fitted GARCH object.
## S4 method for signature 'fGARCH' residuals(object, standardize = FALSE)
object |
an object of class |
standardize |
a logical flag, should the residuals be standardized? |
The function extracts the @residuals slot from an
object of class "fGARCH" as returned by the function
garchFit.
The class of the returned value depends on the input to the
function garchFit who created the object. The returned
value is always of the same class as the input object to the
argument data in the function garchFit, i.e. if
you fit a "timeSeries" object, you will get back from
the function fitted also a "timeSeries" object,
if you fit an object of class "zoo", you will get back
again a "zoo" object. The same holds for a "numeric"
vector, for a "data.frame", and for objects of class
"ts", "mts".
In contrast, the slot itself returns independent of the class
of the data input always a numceric vector, i.e. the function
call rslot(object, "fitted") will return a numeric vector.
Generic function
Extractor function for residual from an object of
class "fGARCH".
residuals is a generic function which extracts residual values
from objects returned by modeling functions.
Diethelm Wuertz for the Rmetrics R-port.
## Swiss Pension func Index - x = as.timeSeries(data(LPP2005REC)) ## garchFit fit = garchFit(LPP40 ~ garch(1, 1), data = 100*x, trace = FALSE) fit ## residuals - res = residuals(fit) head(res) class(res) ## slot - res = slot(fit, "residuals") head(res)
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