I have used garch in package tseries to fit an ARCH(1)
model
X_{t} = sigma_{t} e_{t}, where e_{t} ~ N(0,1)
sigma_{t}^2 = b0 + b1*X_{t-1}^2
to a set of data.
Can anyone please tell me how the residuals are
calculated.
At first I thought the residuals are the usual
residuals
when we do linear regression X_{t}^2 on X_{t-1}^2.
Thanks in advance for your assistance !
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