[R-SIG-Finance] ugarchfit: Weighted Ljung-Box Test
alexios
alexios at 4dscape.com
Wed Mar 25 14:46:09 CET 2015
I've tested this with R 3.1.3 and could not replicate on either i386 or
x64. BTW the latest (development) version of rugarch is 1.3-5:
library(devtools)
install_bitbucket("alexiosg/rugarch")
>sessionInfo()
R version 3.1.3 (2015-03-09)
Platform: x86_64-w64-mingw32/x64 (64-bit)
Running under: [deleted]
locale:
[deleted]
attached base packages:
[1] parallel stats graphics grDevices utils datasets methods
base
other attached packages:
[1] rugarch_1.3-5 devtools_1.7.0
loaded via a namespace (and not attached):
[1] bitops_1.0-6 DistributionUtils_0.5-1
expm_0.99-1.1
[4] GeneralizedHyperbolic_0.8-1 grid_3.1.3 httr_0.6.1
[7] KernSmooth_2.23-14 ks_1.9.4
lattice_0.20-30
[10] Matrix_1.1-5 misc3d_0.8-4
mvtnorm_1.0-2
[13] nloptr_1.0.4 numDeriv_2012.9-1 Rcpp_0.11.5
[16] RCurl_1.95-4.5 rgl_0.95.1201 Rsolnp_1.15
[19] SkewHyperbolic_0.3-2 spd_2.0-0
stringr_0.6.2
[22] tools_3.1.3 truncnorm_1.0-7 xts_0.9-7
[25] zoo_1.7-12
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.
>
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