
Thank you so much, I knew that there is a simple solution, but I've tried it the whole time with garch.fit$coef and there is nothing about p-values.


> Date: Tue, 13 Apr 2010 09:23:22 +0200
> From: matthieu.stigler@gmail.com
> To: r-sig-finance@stat.math.ethz.ch
> CC: konradhoppe@hotmail.de; brian@braverock.com
> Subject: Re: [R-SIG-Finance] p-values of garch models
> 
> 
> 
> #see the structure:
> str(summary(garch.fit))
> #this is what you want, right?
> summary(garch.fit)$coef[,4]
> 
> Konrad Hoppe a écrit :
> > okay, I see the problem...I'm absolutely new to garch modelling and hence I didn't know that there are some many different functions. I've just thought that one of you already now my problem and there is a simple solution, anyway.
> > Now I've produced a code example:
> >
> > #########################
> > install.packages("tseries")
> > library(tseries)
> >
> > data <- vector(length=1000)
> > data[1] <- 0
> > set.seed(123)
> >
> > for(i in 2:1000){
> >     data[i] <- 0.5*data[i-1] + rnorm(1)
> > }
> >
> > garch.fit <- garch(data,order=c(1,1), trace=F)
> > summary(garch.fit)
> > ########################
> >
> > maybe you know another garch function where it's easier to get the p-values..
> > hope you can help me
> >
> > all the best,
> > konrad
> >
> >
> >   
> >> Date: Mon, 12 Apr 2010 15:55:20 -0500
> >> From: brian@braverock.com
> >> To: konradhoppe@hotmail.de
> >> CC: r-sig-finance@stat.math.ethz.ch
> >> Subject: Re: [R-SIG-Finance] p-values of garch models
> >>
> >> On 04/12/2010 03:38 PM, Konrad Hoppe wrote:
> >>     
> >>> 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,
> >>
> >> Please provide a reproducible code example.
> >>
> >> Use one of the example data sets for whatever GARCH package you are 
> >> using, and tell us what package that is, and comment your example so we 
> >> can tell what you're doing.
> >>
> >> You haven't given us enough information to say where you'll find the 
> >> p-values, since among other things you haven't even told us which of the 
> >> many GARCH functions within R you're using.
> >>
> >>    - Brian
> >>
> >> -- 
> >> Brian G. Peterson
> >> http://braverock.com/brian/
> >> Ph: 773-459-4973
> >> IM: bgpbraverock
> >>
> >>
> >>     
> >  		 	   		  
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