roll_residuals {portvine}

Extract fitted standardized residuals from a uGARCHroll object

Description

The rugarch::ugarchroll class object encompasses fitting information about a number of models fitted in a rolling window fashion. This utility function gives an easy interface to extract the fitted residuals from one of these models. This can be especially helpful for assessing the model quality with a residual analysis.

Usage

roll_residuals(ugarchroll, roll_num = 1)

Arguments

ugarchroll

Object of class rugarch::ugarchroll.

roll_num

Count that specifies the fitted model to extract the residuals from.

Value

Numeric vector of the fitted standardized residuals.