residuals.UnivVola {LFUrmutils} | R Documentation |
Function to compute the residuals of univariate or multivariate volatility models. Currently only implemented for objects of class UnivVola
or MultiEWMA
.
## 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", ...)
object |
Object of class |
standardize |
Should standardized residuals be computed ( |
na.action |
|
... |
Arguments passed to methods. |
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.
A zoo
object containing the residuals for each return series.
Bernhard Eder
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.
# 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)