Hi R users:
I am trying and learning the Package ‘rugarch.’ Function ugarchroll helps
create the rolling density forecast from ARMA-GARCH models with option for
refitting
every n periods with parallel functionality. A nice example of application is
posted on this webpage: A short introduction to the rugarch package
Could some people show how to extract all the residuals in every refitting
after fitting ugarchroll function? I do not find a specific command for that
purpose in the documentation.
CHEERS!
Weihan
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