[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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