Thank you for posting that, Alexios. I was working on code for an example
(because my current code is homework code so I cannot post it) but you
showed me what was different. I was doing the ArchTest on the residuals,
not the standardized residuals. This makes much more sense now.

My apologies for not including code in the first post, I'll be sure to
include a working example in all future posts.

Thanks again everyone, I'll let the other people in my class know what was
going on with this.

--Brian

On Sat, Feb 11, 2012 at 1:45 PM, alexios <alexios@4dscape.com> wrote:

> I find that they agree completely:
>
> library(rugarch)
> data(dji30ret)
> fit = ugarchfit(ugarchspec(),**dji30ret[,1])
>
> # The ARCH LM Test on the squared standardized residuals shows:
> ARCH LM Tests
> ------------------------------**------
>             Statistic DoF P-Value
> ARCH Lag[2]     0.6795   2  0.7119
> ARCH Lag[5]     1.9091   5  0.8616
> ARCH Lag[10]    4.2709  10  0.9343
>
> z = residuals(fit)/sigma(fit)
>
> library(FinTS)
> ArchTest(z, 2)
> Chi-squared = 0.6795, df = 2, p-value = 0.7119
> ArchTest(z, 10)
> Chi-squared = 4.2709, df = 10, p-value = 0.9343
>
> i.e. EXACTLY the same.
>
> Regards,
> Alexios
>
>
> On 11/02/2012 21:14, Brian G. Peterson wrote:
>
>> On Sat, 2012-02-11 at 12:50 -0800, Brian Askins wrote:
>>
>>> Hello all,
>>>
>>> My name is Brian Askins and I'm a student at the University of Washington
>>> currently working on an M.S. in computational finance. Our current
>>> homework
>>> is to fit a few GARCH models and do some diagnostic tests on them, one of
>>> which is an LM test on the residuals to make sure there is no more
>>> autocorrelation among them. If I use the ArchTest() function from the
>>> FinTS
>>> package the results make sense and match (to a degree of error) a manual
>>> test that I coded to check this. However, the results from that are
>>> completely different from the results shown in the output of ugarchfit()
>>> under the section "ARCH LM Tests." This also confused other people in the
>>> class, including the TA. So can anyone tell me a little more information
>>> about this discrepancy? I can't find any information on the LM test
>>> performed in ugarchfit() from any of the documentation in the rugarch
>>> package. Any help or pointers on where to find this information would be
>>> greatly appreciated! Thanks!
>>>
>>
>> Brian,
>>
>> It would help everyone out if you followed the posting guide and took
>> some time to create a reproducible example that demonstrates what you're
>> talking about.  From your question, you've obviously already written the
>> code, and the data is probably readily available, so roll it up, comment
>> it, and be specific about the differences that are confusing you.
>>
>> Regards,
>>
>>    - Brian
>>
>>
>

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