Returns an array of the standardized residuals for the fitted GARCH model.
Syntax
GARCH_RESID(X, Order, mean, alphas, betas, innovation, v)
 X
 is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).
 Order
 is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).
Order Description 1 ascending (the first data point corresponds to the earliest date) (default) 0 descending (the first data point corresponds to the latest date)  mean
 is the GARCH model mean (i.e. mu).
 alphas
 are the parameters of the ARCH(p) component model (starting with the lowest lag).
 betas
 are the parameters of the GARCH(q) component model (starting with the lowest lag).
 innovation
 is the probability distribution function of the innovations/residuals (1=Gaussian (default), 2=tDistribution, 3=GED).
value Description 1 (default) Gaussian or Normal Distribution 2 Student's tDistribution 3 Generalized Error Distribution (GED)  v
 is the shape factor (or degrees of freedom) of the innovations/residuals probability distribution function.
Remarks
 The underlying model is described here.
 The time series is homogeneous or equally spaced.
 The time series may include missing values (e.g. #N/A) at either end.
 The standardized residuals have a mean of zero and a variance of one (1).
 The GARCH model's standardized residuals is defined as:
$$\epsilon_t = \frac{a_t}{\sigma_t} $$
$$a_t = x_t  \mu $$
Where:
 $\epsilon $ is the GARCH model's standardized residual at time t.
 $a_t$ is the GARCH model's residual at time t.
 $x_t$ is the value of the time series at time t.
 $\mu$ is the GARCH mean.
 $\sigma_t$ is the GARCH conditional volatility at time t.
 The number of parameters in the input argument  alpha  determines the order of the ARCH component model.
 The number of parameters in the input argument  beta  determines the order of the GARCH component model.
Examples
Example 1:


Files Examples
References
 Hamilton, J .D.; Time Series Analysis , Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740
Comments
Article is closed for comments.