The tests on the (squared) standardized residuals must be adjusted for
the degrees of freedom: df (which must be >no.lags used in test) which
is model dependent. For a GARCH(1,1) model this is equal to 2. For
Weighted Ljung-Box Test and lag=1 the package sets the df=0 (perhaps
badly), otherwise:
1. For Weighted Ljung-Box : lags = max(2, 2 * df + df - 1) and max(5, 4
* df + df - 1)
2. For Weighted ARCH LM: lags = df+c(1,3,5)
You are of course free to choose any other lags and run the tests
separately using the WeightedPortTest package.
Regards,
Alexios
On 6/4/18 2:41 PM, Andreas Bregiannis wrote:
Dear all,
I implemented some AR-t-EGARCH models using the Rugarch package and in the
output I also received the results of the two Ljung-Box tests and the ARCH LM
test. In the Ljung-Box tests, the chosen lags for testing is Lag[1],
Lag[2*(p+q)+(p+q)-1], Lag[4*(p+q)+(p+q)-1] while for the ARCH LM I think that
the chosen lags are Lag[p+q+1], Lag[p+q+3] and Lag[p+q+5] . For those of the
ARCH LM test I am not sure that these are the chosen lags because they are not
mentioned analytically.
My question is why these specific formulas for the lags are chosen?
I understand that we want to test for the first lag and for further lags. But
could you please tell me why e.g. the 4*(p+q)+(p+q)-1 lag or the p+q+5 lag are
chosen? So, is there any specific explanation for these choices?
Thank you in advance.
Kind regards,
Andreas
[[alternative HTML version deleted]]
_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
