[R-SIG-Finance] Problem with garch (tseries)

[Patrick Burns]

The Ljung-Box test is susceptible to outliers in
this context.  I haven't looked at this data at all,
but I suspect that a rank Ljung-Box test here
would give a dramatically different result.  More
details are in the Ljung-Box working paper on
the Burns Statistics website.


Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Hannu Kahra wrote:

>Ricardo,
>
>have you tested for the ARCH effects?
>
>  
>
>>r <- scan("jpy.txt")
>>    
>>
>Read 1459 items
>  
>
>>a <- r-mean(r)
>>rsq <- a^2
>># Testing for ARCH effects
>>Box.test(rsq, lag=5, type = "Ljung-Box")
>>    
>>
>
>        Box-Ljung test
>
>data:  rsq
>X-squared = 2.8022, df = 5, p-value = 0.7305
>
>  
>
>># Look at the acf and pacf of squared returns
>>acf(rsq)
>>pacf(rsq)
>>    
>>
>
>It is no wonder that you are unable to fit a regular GARCH model.
>
>Regards,
>Hannu
>
>On 8/21/06, Ricardo Zambrano Aguilera <Ricardo.Zambrano at corpbanca.cl> wrote:
>  
>
>>Greetings
>>i have this time series, (currency japanese log returns)
>>the data´s iid and it don´t have any serial correlation
>>but it does not fit to a regular garch ...
>>what could it be?
>>best regards
>>
>>RZA
>><<JPY.txt>>
>>pd:weekens removed
>>
>>
>>
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>>
>>    
>>
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