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

[alexios ghalanos]

For out of sample in particular you might like to look at the Predictive
Density Tests (e.g. Berkowitz), and maybe Directional Accuracy Tests
(e.g. Pesaran & Timmermann, Anatolyev & Gerko).

Best,
Alexios Ghalanos

On Sat, 2011-06-04 at 08:36 +0100, Patrick Burns wrote:
> 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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