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I'm trying to compute the standardized residuals in GARCH-MIDAS model but I think that the calculation is not similar to GARCH standard models in R. As reference I have only Engle's (2012) paper in which are the equation where the residuals appear.

Someone who knows how to do it?

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To compute standardized residuals in a GARCH-MIDAS model, first fit the model to your data and extract the conditional variance ($\sigma^{2}_{t}$). Then, calculate the residuals ($e_t$) as the difference between the actual and estimated values, and standardize them using $z_t = \frac{e_{t}}{\sqrt{\sigma^{2}_{t}}}$.

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  • $\begingroup$ Hi Sane, firstly thanks for the answer. In the GARCH-MIDAS model output estimates (when I run the "umgfit" command in R) I obtain only the values for the entire time series of short-term and long-term volatility (conditional variance), but I don't get the estimated values of returns that allow me to calculate the residuals in a usual way. How should I do in this case? $\endgroup$
    – Michele Mario Ippolito
    Commented Sep 27 at 7:55
  • $\begingroup$ @MicheleMarioIppolito Have you tried to predict values from the estimated model? You should use predicted/estimated values with actual ones to compute residuals. $\endgroup$
    – Sane
    Commented Sep 27 at 8:18
  • $\begingroup$ I tried, but I haven't got the fitted values. In the output of the model there aren't estimated values and even if I compute "predicted values" starting from my model, I don't get them anyway. I've only the fitted values of short and long-term volatility. $\endgroup$
    – Michele Mario Ippolito
    Commented Sep 27 at 9:05
  • $\begingroup$ What software/package you use? $\endgroup$
    – Sane
    Commented Sep 27 at 10:04
  • $\begingroup$ I use R software and the package is "rumidas". The command that allow me to fit a GARCH-MIDAS model is "ugmfit" $\endgroup$
    – Michele Mario Ippolito
    Commented Sep 27 at 10:58

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