[R-SIG-Finance] ARCH test (rugarch package)

[alexios ghalanos]

Have a look at the unexported function:

rugarch:::.archlmtest

It returns a list, with one of the constituents being 'p.value'.

Regards,

Alexios

On 05/08/2013 20:40, Suzie wrote:
> 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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