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

[Lukas Halbeisen]

Josh,

I read it at least twice and there is not a single sentence about which 
lags are optimal to test against Ljung-Box-Test or Li-Mak-Test. Or do I 
miss anything?

Am 22.10.2018 um 20:34 schrieb 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 
> <mailto: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>
>     > <mailto: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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