p-values of garch models
On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
Hi, the Ljung Box statistic is valid for differrent models in my case and I want to distinguish automatically between those different models. My problem is, that it turns out, that there is more than one model with valid box statistic, but only one has a residual series which looks like white noise, and this model has only significant parameters, while the others have some non-significant params. Hence I need to get these p-values from the model and I think that there must be possibility since the p-values are calculated, but I'm just unable to get them... Any ideas to solve that problem?
Konrad, Please provide a reproducible code example. Use one of the example data sets for whatever GARCH package you are using, and tell us what package that is, and comment your example so we can tell what you're doing. You haven't given us enough information to say where you'll find the p-values, since among other things you haven't even told us which of the many GARCH functions within R you're using. - Brian
Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock