Hello, I'm still learning econometrics for time series.
I'm confused after estimating the GARCH-t model which we need to check whether the data fit well or not by running wntestq command on standardized residuals and squared standardized residuals. My question is what's the difference of running wntestq for both residuals?
thank you in advance
I'm confused after estimating the GARCH-t model which we need to check whether the data fit well or not by running wntestq command on standardized residuals and squared standardized residuals. My question is what's the difference of running wntestq for both residuals?
thank you in advance