[R-SIG-Finance] ugarchfit: Weighted Ljung-Box Test
Jaimie Villanueva
jaimie.villanueva at gmail.com
Tue Mar 24 19:29:32 CET 2015
Dear R users
I recently moved to the latest version of rugarch package (rugarch_1.3-4)
and i notice that the Ljung Box test on the standarized residuals
(squared standarized residuals too) is newer shown up. There is always
appearing "NA" simbols. I don't really understand why.I tried to find it
out by myself but without success.
Is there anyone who can help me out with this?
Here is a little reproducible example along with session info:
*spec = ugarchspec()*
*data(sp500ret)*
*fit = ugarchfit(spec = spec, data = sp500ret)*
*show(fit)*
*---------------------------------*
* GARCH Model Fit *
*---------------------------------*
Conditional Variance Dynamics
-----------------------------------
GARCH Model : sGARCH(1,1)
Mean Model : ARFIMA(1,0,1)
Distribution : norm
Optimal Parameters
------------------------------------
Estimate Std. Error t value Pr(>|t|)
mu 0.000523 0.000087 5.9907 0.0000
ar1 0.870134 0.072199 12.0518 0.0000
ma1 -0.897344 0.064634 -13.8834 0.0000
omega 0.000001 0.000001 1.3970 0.1624
alpha1 0.087715 0.013659 6.4219 0.0000
beta1 0.904935 0.013705 66.0292 0.0000
Robust Standard Errors:
Estimate Std. Error t value Pr(>|t|)
mu 0.000523 0.000129 4.038024 0.000054
ar1 0.870134 0.088227 9.862425 0.000000
ma1 -0.897344 0.080389 -11.162576 0.000000
omega 0.000001 0.000014 0.094157 0.924984
alpha1 0.087715 0.185058 0.473985 0.635511
beta1 0.904935 0.190563 4.748733 0.000002
LogLikelihood : 17902.41
Information Criteria
------------------------------------
Akaike -6.4807
Bayes -6.4735
Shibata -6.4807
Hannan-Quinn -6.4782
Weighted Ljung-Box Test on Standardized Residuals
------------------------------------
statistic p-value
Lag[1] NA NA
Lag[2*(p+q)+(p+q)-1][5] NA NA
Lag[4*(p+q)+(p+q)-1][9] NA NA
d.o.f=2
H0 : No serial correlation
Weighted Ljung-Box Test on Standardized Squared Residuals
------------------------------------
statistic p-value
Lag[1] NA NA
Lag[2*(p+q)+(p+q)-1][5] NA NA
Lag[4*(p+q)+(p+q)-1][9] NA NA
d.o.f=2
Weighted ARCH LM Tests
------------------------------------
Statistic Shape Scale P-Value
ARCH Lag[3] NA 0.500 2.000 NA
ARCH Lag[5] NA 1.440 1.667 NA
ARCH Lag[7] NA 2.315 1.543 NA
Nyblom stability test
------------------------------------
Joint Statistic: 174.2204
Individual Statistics:
mu 0.2060
ar1 0.1477
ma1 0.1047
omega 21.3472
alpha1 0.1346
beta1 0.1134
Asymptotic Critical Values (10% 5% 1%)
Joint Statistic: 1.49 1.68 2.12
Individual Statistic: 0.35 0.47 0.75
Sign Bias Test
------------------------------------
t-value prob sig
Sign Bias 0.4296 6.675e-01
Negative Sign Bias 2.9492 3.199e-03 ***
Positive Sign Bias 2.3921 1.678e-02 **
Joint Effect 28.9841 2.257e-06 ***
Adjusted Pearson Goodness-of-Fit Test:
------------------------------------
group statistic p-value(g-1)
1 20 178.6 5.738e-28
2 30 188.1 3.136e-25
3 40 217.8 1.084e-26
4 50 227.9 7.064e-25
Elapsed time : 1.343655
*sessionInfo()*
R version 3.1.3 (2015-03-09)
Platform: i386-w64-mingw32/i386 (32-bit)
Running under: Windows XP (build 2600) Service Pack 3
locale:
[1] LC_COLLATE=Spanish_Spain.1252
[2] LC_CTYPE=Spanish_Spain.1252
[3] LC_MONETARY=Spanish_Spain.1252
[4] LC_NUMERIC=C
[5] LC_TIME=Spanish_Spain.1252
attached base packages:
[1] parallel stats graphics grDevices utils
[6] datasets methods base
other attached packages:
[1] nortest_1.0-3 ggplot2_1.0.1
[3] fUnitRoots_3010.78 urca_1.2-8
[5] fGarch_3010.82 fBasics_3011.87
[7] rugarch_1.3-4 FinTS_0.4-5
[9] TSA_1.01 mgcv_1.8-5
[11] nlme_3.1-120 locfit_1.5-9.1
[13] leaps_2.9 MASS_7.3-39
[15] timeSeries_3012.99 timeDate_3012.100
[17] tseries_0.10-34 zoo_1.7-12
[19] quadprog_1.5-5 RODBC_1.3-11
loaded via a namespace (and not attached):
[1] colorspace_1.2-6
[2] digest_0.6.8
[3] DistributionUtils_0.5-1
[4] expm_0.99-1.1
[5] GeneralizedHyperbolic_0.8-1
[6] grid_3.1.3
[7] gtable_0.1.2
[8] KernSmooth_2.23-14
[9] ks_1.9.4
[10] labeling_0.3
[11] lattice_0.20-30
[12] Matrix_1.1-5
[13] misc3d_0.8-4
[14] munsell_0.4.2
[15] mvtnorm_1.0-2
[16] nloptr_1.0.4
[17] numDeriv_2012.9-1
[18] plyr_1.8.1
[19] proto_0.3-10
[20] Rcpp_0.11.5
[21] reshape2_1.4.1
[22] rgl_0.95.1201
[23] Rsolnp_1.15
[24] scales_0.2.4
[25] SkewHyperbolic_0.3-2
[26] spd_2.0-0
[27] stringr_0.6.2
[28] tools_3.1.3
[29] truncnorm_1.0-7
[30] xts_0.9-7
Thanks u all in advance.
--
*Jaimie.*
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