[R-SIG-Finance] ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

[Amit Mittal]

Try and get hold of basic econometric texts like today and enders (two
separate authors) it is a well described methodology

On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <lhalbeisen using gmail.com> wrote:

> Hi all,
>
> I am currently working on my master thesis and have to evaluate some
> GARCH-Modells.
>
> What I am wondering:
>
> How are the lags picked up for the Weighted LB-Test as well as for the
> ARCH LM Test.
>
> For instance I have fitted a GARCH(3,3)-Modell:
>
> Weighted Ljung-Box Test on Standardized Squared Residuals
> ------------------------------------
>                           statistic  p-value
> Lag[1]                       9.052 0.002624
> Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672
> Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824
> d.o.f=6
>
>
> The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what is the
> reason? Is there any reference where this kind of calculation has been
> described?
>
>
> Weighted ARCH LM Tests
>
> ------------------------------------
>               Statistic Shape Scale P-Value
> ARCH Lag[7]      1.375 0.500 2.000  0.2409
> ARCH Lag[9]      1.462 1.485 1.796  0.6476
> ARCH Lag[11]     2.596 2.440 1.677  0.6695
>
>
> Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch
> consider the lags 7,9 and 11 as the most important ones?
>
> Thank you and best regards,
> Lukas
>
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Amit Mittal
Pursuing Ph.D. in Finance and Accounting
Indian Institute of Management, Lucknow
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