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

alexios alexios at 4dscape.com
Sat Feb 11 22:45:50 CET 2012

I find that they agree completely:

fit = ugarchfit(ugarchspec(),dji30ret[,1])

# The ARCH LM Test on the squared standardized residuals shows:
              Statistic DoF P-Value
ARCH Lag[2]     0.6795   2  0.7119
ARCH Lag[5]     1.9091   5  0.8616
ARCH Lag[10]    4.2709  10  0.9343

z = residuals(fit)/sigma(fit)

ArchTest(z, 2)
Chi-squared = 0.6795, df = 2, p-value = 0.7119
ArchTest(z, 10)
Chi-squared = 4.2709, df = 10, p-value = 0.9343

i.e. EXACTLY the same.


On 11/02/2012 21:14, Brian G. Peterson wrote:
> 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

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