[R-SIG-Finance] Rugarch package - Reasoning for the choice of lags in the Ljung-Box and ARCH LM tests
Andreas Bregiannis
bregi@nni@@@ndre@@ @ending from hotm@il@com
Mon Jun 4 23:41:17 CEST 2018
Dear all,
I implemented some AR-t-EGARCH models using the Rugarch package and in the output I also received the results of the two Ljung-Box tests and the ARCH LM test. In the Ljung-Box tests, the chosen lags for testing is Lag[1], Lag[2*(p+q)+(p+q)-1], Lag[4*(p+q)+(p+q)-1] while for the ARCH LM I think that the chosen lags are Lag[p+q+1], Lag[p+q+3] and Lag[p+q+5] . For those of the ARCH LM test I am not sure that these are the chosen lags because they are not mentioned analytically.
My question is why these specific formulas for the lags are chosen?
I understand that we want to test for the first lag and for further lags. But could you please tell me why e.g. the 4*(p+q)+(p+q)-1 lag or the p+q+5 lag are chosen? So, is there any specific explanation for these choices?
Thank you in advance.
Kind regards,
Andreas
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