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

[Robert A'gata]

Thank you so much all for your invaluable inputs.

On Sat, Jun 4, 2011 at 3:36 AM, Patrick Burns <patrick at burns-stat.com> 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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>
> --
> Patrick Burns
> patrick at burns-stat.com
> http://www.burns-stat.com
> http://www.portfolioprobe.com/blog
> twitter: @portfolioprobe
>