for calculation of standardized residuals is it true?
Volatility= Estimated from MSGARCH package in R
Residuals= abs(returns)-volatility;
standardized residuals=Residuals/volatility;
Could you please share the source where the residuals are defined in the way you indicated here? I could not get the definition in the package reference manual.
However, the definition of standardized residuals is correct:
"standardized residuals=Residuals/volatility"
Did you find a way to extract residual from the MSGARCH package? I am facing the same problem
Use
Volatility(FitML(YourObject))/YourData or
Volatility(FitMCMC(YourObject))/YourData
This will give you standardized residuals. Notice that we have a zero conditional mean equation implimented in the MSGARCH package.
https://stats.stackexchange.com/questions/412285/standardized-residuals-garch-models
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