Hi,

the Ljung Box statistic is valid for differrent models in my case and I want
to distinguish automatically between those different models. My problem is,
that it turns out, that there is more than one model with valid box
statistic, but only one has a residual series which looks like white noise,
and this model has only significant parameters, while the others have some
non-significant params. Hence I need to get these p-values from the model
and I think that there must be possibility since the p-values are
calculated, but I'm just unable to get them...
Any ideas to solve that problem?

Konrad Hoppe

-----Ursprüngliche Nachricht-----
Von: r-sig-finance-bounces@stat.math.ethz.ch
[mailto:r-sig-finance-bounces@stat.math.ethz.ch] Im Auftrag von Sarbo
Gesendet: Samstag, 10. April 2010 15:16
An: r-sig-finance@stat.math.ethz.ch
Betreff: Re: [R-SIG-Finance] p-values of garch models

What about the Ljung-Box statistics from the GARCH estimation? Wouldn't
that provide the p-values you're looking for?

On Fri, 2010-04-09 at 23:37 +0200, Konrad Hoppe wrote:

> Hi list,
> 
> I'm actually trying to model some financial data with use of garch models
> besides other stuff. But now I'm wondering how to extract the p-values
from
> the garch output. I'm just unable to get them. Do I have to calculate them
> by my own or are there any other possibilities? Of course, I've already
> checked the help function, but there aren't any advises.
> Hope you can help me.
> 
> Thanks in advance,
> Konrad Hoppe
> http://www.konrad-hoppe.com/
> 
> 
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