[R-SIG-Finance] ARCH test (rugarch package)
Suzie
suzie at 10g.pl
Mon Aug 5 21:40:03 CEST 2013
Hello!
Does anybody know if there is a possibility for extracting the results of ARCH LM tests (especially I need the p-value column) from show() function in the rugarch package? Like for example there is signbias() for extracting the results of sign bias test or nyblom() for extracting the Hansen-Nyblom test results.
If there is none such method for extracting the results from show(), I know that I can use:
fit = ugarchfit(...)
library(FinTS)
x = residuals(fit, standardize=TRUE)
ArchTest(x, lags=2)
ArchTest(x, lags=5)
ArchTest(x, lags=10)
and get the same results as presented in the show(fit), but I still don't know how to extract only the "p-value" values from these results.
I will be gratefull for any help.
Regards,
Suzie
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