[R-SIG-Finance] Measure quality of fit for MA(q), ARMA(p, q) and GARCH(p, q)

[Patrick Burns]

A common thing to do is the Ljung-Box
test on the residuals.  For garch it
would be the residuals squared.

Actually for garch it should be the
rank of the squared residuals -- see
http://www.burns-stat.com/pages/Working/ljungbox.pdf

However, this is an in-sample test.  Much
better is to do out-of-sample tests.

On 04/06/2011 04:46, Robert A'gata wrote:
> Hi,
>
> I would like to ask for a guideline on how to assess quality of fit
> for MA, ARMA and GARCH process. For AR, it still looks like a
> regression for me. So I still can rely on R-square as long as the time
> series itself is stationary. However, for MA, ARMA or GARCH, I do not
> know what measure I should use to assess fit quality. Any suggestions
> would be appreciated. Thank you.
>
> Robert
>
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-- 
Patrick Burns
patrick at burns-stat.com
http://www.burns-stat.com
http://www.portfolioprobe.com/blog
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