https://github.com/cran/fGarch
Tip revision: 0d2f83a2963bb8c7d3b9bc679cd3192c719b0f5b authored by Georgi N. Boshnakov on 15 October 2023, 14:40:05 UTC
version 4031.90
version 4031.90
Tip revision: 0d2f83a
methods-residuals.R
# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# METHOD: EXTRACTORS:
# residuals.fGARCH S4 residuals method for an object of class 'fGARCH'
################################################################################
setMethod(f = "residuals", signature(object = "fGARCH"), definition =
function(object, standardize = FALSE)
{
# A function implemented by Diethelm Wuertz
# Description:
# S4 Residuals method for an object of class fGARCH
# Arguments:
# object - an object of class fGarch as returned by the
# function garchFit
# ... - optional argument to be passed, this may be standardize=FALSE
# to return the -non-standardized values of the residuals.
# By default standardized residuals will be returned.
# FUNCTION:
# Residuals:
if (standardize) {
ans = object@residuals/object@sigma.t
} else {
ans = object@residuals
}
# Return Value:
ans
})
# ------------------------------------------------------------------------------