Hi all,
I am currently working on my master thesis and have to evaluate some
GARCH-Modells.
What I am wondering:
How are the lags picked up for the Weighted LB-Test as well as for the
ARCH LM Test.
For instance I have fitted a GARCH(3,3)-Modell:
Weighted Ljung-Box Test on Standardized Squared Residuals
------------------------------------
statistic p-value
Lag[1] 9.052 0.002624
Lag[2*(p+q)+(p+q)-1][17] 14.593 0.070672
Lag[4*(p+q)+(p+q)-1][29] 20.134 0.129824
d.o.f=6
The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what is the
reason? Is there any reference where this kind of calculation has been
described?
Weighted ARCH LM Tests
------------------------------------
Statistic Shape Scale P-Value
ARCH Lag[7] 1.375 0.500 2.000 0.2409
ARCH Lag[9] 1.462 1.485 1.796 0.6476
ARCH Lag[11] 2.596 2.440 1.677 0.6695
Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch
consider the lags 7,9 and 11 as the most important ones?
Thank you and best regards,
Lukas
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