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

[Amit Mittal]

Ruey tsay - analysis of financial time series
Enders - Applied Economet time series
Greene

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Amit Mittal
PhD in Finance and Accounting (tbd)
IIM Lucknow
http://ssrn.com/author=2665511
*Top 10%, downloaded author since July 2017
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________________________________
From: Lukas Halbeisen <lhalbeisen using gmail.com>
Sent: Monday, October 22, 2018 11:59:01 PM
To: profamitmittal using gmail.com
Cc: r-sig-finance using r-project.org
Subject: Re: [R-SIG-Finance] ugarchfit - Weighted Ljung-Box Test and ARCH LM Test


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
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Indian Institute of Management, Lucknow
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