Hi, I have a question about the regression used in the Sign Bias test of Engle and Ng. In the original paper the regression is for squared standardized residuals but not against their non-squared values (as it is described in the "introduction" to rugarch package) - in the paper it is against the innovations (y(t)). Is it the same?
Or should we even rather use here the "fitted" values of innovations (y^(t)= y(t)-mi(theta,x(t)), because in fact the standardized residuals come grom ARMA-GARCH model, not GARCH itself, as it is in the original paper od Engle and Ng. Many thanks for any help. _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.