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Extract standardized residuals but with data having mean not equal to zero #78

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ansd39 opened this issue Apr 19, 2024 · 0 comments
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@ansd39
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ansd39 commented Apr 19, 2024

Thanks for the superb work on this package.

I have question about extract standardized residuals regarding having data's mean is not equal to zero.

From issue #51 , I know that "You can indeed get the standardized residual by dividing the data by the conditional volatility. Keep in mind that the model assumes that the mean of the data is 0."

But my question is that what if the mean of the data is not 0, how could I adjust it when estimaing the MSGARCH model?

Thanks in advance!

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