[R-SIG-Finance] p-values of garch models

[Brian G. Peterson]

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