possible bug(s) in fGarch

[michal miklovic]

Hi,

I estimated a garch model and obtained strange and self-contradictory results when I checked the model using the plot function. I ran the following code:

library(fGarch)
garchmodel <- garchFit (~ arma(0,3) + garch(1,1), data, init.rec="uev",include.mean=FALSE, algorithm="sqp")
summary(garchmodel)
plot(garchmodel)

Selections 7 ('Residuals') and 9 ('Standardised Residuals') of the plot function produce the same graph. Other selections appear to use 'Residuals' instead of 'Standardised Residuals', which leads to results contradicting the Standardised Residuals Tests from the model output. For example, the Ljung-Box test for squared standardised residuals does not indicate any remaining garch structure but the selection 11 ('ACF of Squared Standardised Residuals') shows significant autocorrelations at the first four lags. Selections 10 ('ACF of Standardised Residuals') and 13 ('QQ-Plot of Standardised Residuals') are similarly affected. On the other hand, I think the Standardised Residuals Tests are computed from 'Standardised Residuals', which is correct. I enclose the model output and the ACF of Squared Standardised Residuals in attachment.

I would like to point out that the graph from selection 11 ('ACF of Squared Standardised Residuals') has wrong title, the word 'Squared' is missing in the title.

I would also like to ask what is the degree of freedom of the ARCH-LM test. In the model that I estimated the degree of freedom appears to be 12. Is it so? If yes, why did you choose 12? It is a bit too high, in my opinion.

Thank you for your answer.

Best regards

Michal Miklovic




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