The rugarch::ugarchroll class object encompasses fitting information
about a number of
models fitted in a rolling window fashion. This utility function gives an
easy interface to extract the fitted residuals from one of these models.
This can be especially helpful for assessing the model quality with a
residual analysis.
Arguments
- ugarchroll
Object of class
rugarch::ugarchroll.- roll_num
Count that specifies the fitted model to extract the residuals from.