standardizeReturns {facmodCS} | R Documentation |
Standardize the returns using GARCH(1,1) volatilities.
standardizeReturns(
specObj,
GARCH.params = list(omega = 0.09, alpha = 0.1, beta = 0.81)
)
specObj |
is a ffmSpec object |
GARCH.params |
fixed Garch(1,1) parameters |
this function operates on the data inside the specObj and standardizes the returns to create scaled return.
an ffmSpec Object with the standardized returns added
specFfm
for information on the definition of the specFfm object.