ugarchfit - Weighted Ljung-Box Test and ARCH LM Test
Hi Amit, thanks for your quick reply. :) I invested today another 4 hours to find some adequate information, which lags should be tested. As well, I checked "Applied Econometric Time Series" from Enders to find some appropiate information to this matter, but with no result. Would you be so kind to give me some more details to the references you are talking about? Or can you tell me how the methodology is called, that would be very helpful for me. Thank you very much and best regards, Lukas Am 20.10.2018 um 21:38 schrieb Amit Mittal:
Try and get hold of basic econometric texts like today and enders (two
separate authors) it is a well described methodology
On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <lhalbeisen at gmail.com
<mailto:lhalbeisen at gmail.com>> wrote:
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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