[R-SIG-Finance] ugarchfit: Weighted Ljung-Box Test

Tue Mar 24 19:36:59 CET 2015

I'm still on R 3.1.2 and can't replicate this...I'll upgrade and 
investigate.

Alexios

On 24/03/2015 18:29, Jaimie Villanueva wrote:
> 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.
>