Dear R helping team,
I just want to test whether there is a false convergence in my GARCH(1,1) model. On my R console it dose not shown a false converge. Here are my command :
> arch=garch(m2$residuals,order=c(1,1),trace=F)> arch
Call:garch(x = m2$residuals, order = c(1, 1), trace = F)
Coefficient(s):       a0         a1         b1  8.272e-07  1.195e-01  8.557e-01  
> logLik(arch)'log Lik.' 1493.282 (df=3)> AIC(arch)[1] -2980.563> summary(arch)
Call:garch(x = m2$residuals, order = c(1, 1), trace = F)
Model:GARCH(1,1)
Residuals:     Min       1Q   Median       3Q      Max -2.55869 -0.65137 -0.08089  0.71658  2.79273 
Coefficient(s):    Estimate  Std. Error  t value Pr(>|t|)    a0 8.272e-07   6.203e-07    1.333  0.18239    a1 1.195e-01   4.040e-02    2.959  0.00308 ** b1 8.557e-01   4.861e-02   17.606  < 2e-16 ***---Signif. codes:  0 бо***бп 0.001 бо**бп 0.01 бо*бп 0.05 бо.бп 0.1 бо бп 1
Diagnostic Tests:        Jarque Bera Test
data:  ResidualsX-squared = 4.3863, df = 2, p-value = 0.1116

        Box-Ljung test
data:  Squared.ResidualsX-squared = 1.2309, df = 1, p-value = 0.2672

thank you very much
Kind Regards
penny
 		 	   		  
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