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

[Lukas Halbeisen]

Hi Amit,

thanks for your quick reply. :)

I invested today another 4 hours to find some adequate information, 
which lags should be tested. As well, I checked "Applied Econometric 
Time Series" from Enders to find some appropiate information to this 
matter, but with no result.

Would you be so kind to give me some more details to the references you 
are talking about? Or can you tell me how the methodology is called, 
that would be very helpful for me.

Thank you very much and best regards,
Lukas

Am 20.10.2018 um 21:38 schrieb 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 
> <mailto: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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