[Gretl-users] Re: Tests for GARCH models
Additionally, under [Save] menu with a GARCH model, we now have
options to save residuals and Squared residuals. Is it possible to
also save "standardized" residuals and Squared residuals as well?
Yi-Nung
2009/5/7 yinung at Gmail <yinung.cycu(a)gmail.com>:
Dear all,
In general, after estimating a GARCH, the diagnosis should be on
"standardized" residuals rather than on "regular" residuals from the
mean equation.
However, the current test (named ARCH) with a GARCH model via GUI is
on "regular" residuals from the mean equation.
Do you think the test should be on the "standardized" residuals?
In addition, the tests on "normality of residual" and
"autocorrelation" is now disabled with a GARCH model. Are they
possibly enabled (and on the "standardized" residuals)?
Thanks
Yi-Nung