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

[Josh Segal]

Lukas,

The rugarch vignette references this paper, have you read it?
http://cecas.clemson.edu/~cgallag/publications/FishGal.pdf

For more details you can follow references therein.

Josh

On Mon, Oct 22, 2018 at 2:29 PM Lukas Halbeisen <lhalbeisen using gmail.com>
wrote:

> 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
> > Visit my SSRN author page:
> > http://ssrn.com/author=2665511
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> >
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> >
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