I am looking for the error of a GARCH-Model.
I estimated an AR(1) with GARCH(1,1) errors for stock market data. Now I wanted to plot the residuals of the model.
To my surprise they still showed the same conditional heteroskedasticity as without the GARCH-modelling.
So I guess these are the Residuals of the Mean Equation, i.e. the AR(1).
But I am looking for the error of the GARCH-Equation.
When EViews conducts ARCH-Tests, it will use "WGTRESID" which I assume is what I am looking for. How can I plot these?
Actually I only want these residuals for teaching / explaining to students. But it should be possible to somehow get them, shouldn't it? It seems to me like these residuals should also be shown after estimating a GARCH Model when clicking on Graph Residuals. Or am I interpreting the GARCH approach a bit wrongly? This is, does it actually make sense to look at them? I am not sure I guess it does because they are the ones tested in the ARCH-Test so they have some meaning. The human eye might catch some left over structure that the ARCH-Test doesn't find anymore because precisely all the ARCH-Effects have been removed. The residuals might still not be white noise, however.
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
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