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

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