How can I get the residuals?
Posted: Sat Sep 08, 2012 10:31 pm
Hello,
I am using the RATS codes that replicates the GARCH_DF model used by Dueker(1997) in "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility" pubilsed in Journal of Business and Econoic Statistics.
I want to do analysis with the residuals of the final Markov Swithcing GARCH model.
How can I get the residuals?
Could you please help me?
Thank you very much in advance.
I am using the RATS codes that replicates the GARCH_DF model used by Dueker(1997) in "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility" pubilsed in Journal of Business and Econoic Statistics.
I want to do analysis with the residuals of the final Markov Swithcing GARCH model.
How can I get the residuals?
Could you please help me?
Thank you very much in advance.