[R-SIG-Finance] ugarchfit() ARCH LM tests contradict ArchTest()?

[Brian G. Peterson]

On Sat, 2012-02-11 at 12:50 -0800, Brian Askins wrote:
> Hello all,
> 
> My name is Brian Askins and I'm a student at the University of Washington
> currently working on an M.S. in computational finance. Our current homework
> is to fit a few GARCH models and do some diagnostic tests on them, one of
> which is an LM test on the residuals to make sure there is no more
> autocorrelation among them. If I use the ArchTest() function from the FinTS
> package the results make sense and match (to a degree of error) a manual
> test that I coded to check this. However, the results from that are
> completely different from the results shown in the output of ugarchfit()
> under the section "ARCH LM Tests." This also confused other people in the
> class, including the TA. So can anyone tell me a little more information
> about this discrepancy? I can't find any information on the LM test
> performed in ugarchfit() from any of the documentation in the rugarch
> package. Any help or pointers on where to find this information would be
> greatly appreciated! Thanks!

Brian,

It would help everyone out if you followed the posting guide and took
some time to create a reproducible example that demonstrates what you're
talking about.  From your question, you've obviously already written the
code, and the data is probably readily available, so roll it up, comment
it, and be specific about the differences that are confusing you.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock