ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

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ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

 Hi all, I am currently working on my master thesis and have to evaluate some GARCH-Modells. What I am wondering: How are the lags picked up for the Weighted LB-Test as well as for the ARCH LM Test. For instance I have fitted a GARCH(3,3)-Modell: Weighted Ljung-Box Test on Standardized Squared Residuals ------------------------------------                           statistic  p-value Lag[1]                       9.052 0.002624 Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672 Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824 d.o.f=6 The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what is the reason? Is there any reference where this kind of calculation has been described? Weighted ARCH LM Tests ------------------------------------               Statistic Shape Scale P-Value ARCH Lag[7]      1.375 0.500 2.000  0.2409 ARCH Lag[9]      1.462 1.485 1.796  0.6476 ARCH Lag[11]     2.596 2.440 1.677  0.6695 Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch consider the lags 7,9 and 11 as the most important ones? Thank you and best regards, Lukas _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Re: ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

 Try and get hold of basic econometric texts like today and enders (two separate authors) it is a well described methodology On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <[hidden email]> wrote: > Hi all, > > I am currently working on my master thesis and have to evaluate some > GARCH-Modells. > > What I am wondering: > > How are the lags picked up for the Weighted LB-Test as well as for the > ARCH LM Test. > > For instance I have fitted a GARCH(3,3)-Modell: > > Weighted Ljung-Box Test on Standardized Squared Residuals > ------------------------------------ >                           statistic  p-value > Lag[1]                       9.052 0.002624 > Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672 > Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824 > d.o.f=6 > > > The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what is the > reason? Is there any reference where this kind of calculation has been > described? > > > Weighted ARCH LM Tests > > ------------------------------------ >               Statistic Shape Scale P-Value > ARCH Lag[7]      1.375 0.500 2.000  0.2409 > ARCH Lag[9]      1.462 1.485 1.796  0.6476 > ARCH Lag[11]     2.596 2.440 1.677  0.6695 > > > Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch > consider the lags 7,9 and 11 as the most important ones? > > Thank you and best regards, > Lukas > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. > -- ______________________________ Amit Mittal Pursuing Ph.D. in Finance and Accounting Indian Institute of Management, Lucknow Visit my SSRN author page: http://ssrn.com/author=2665511* Top 10% Downloaded Author on SSRN Mob: +91 7525023664 This message has been sent from a mobile device. I may contact you again. _________________         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Re: ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

 Hi Amit, thanks for your quick reply. :) I invested today another 4 hours to find some adequate information, which lags should be tested. As well, I checked "Applied Econometric Time Series" from Enders to find some appropiate information to this matter, but with no result. Would you be so kind to give me some more details to the references you are talking about? Or can you tell me how the methodology is called, that would be very helpful for me. Thank you very much and best regards, Lukas Am 20.10.2018 um 21:38 schrieb Amit Mittal: > Try and get hold of basic econometric texts like today and enders (two > separate authors) it is a well described methodology > > On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <[hidden email] > > wrote: > >     Hi all, > >     I am currently working on my master thesis and have to evaluate some >     GARCH-Modells. > >     What I am wondering: > >     How are the lags picked up for the Weighted LB-Test as well as for >     the >     ARCH LM Test. > >     For instance I have fitted a GARCH(3,3)-Modell: > >     Weighted Ljung-Box Test on Standardized Squared Residuals >     ------------------------------------ >                               statistic  p-value >     Lag[1]                       9.052 0.002624 >     Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672 >     Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824 >     d.o.f=6 > > >     The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what >     is the >     reason? Is there any reference where this kind of calculation has >     been >     described? > > >     Weighted ARCH LM Tests > >     ------------------------------------ >                   Statistic Shape Scale P-Value >     ARCH Lag[7]      1.375 0.500 2.000  0.2409 >     ARCH Lag[9]      1.462 1.485 1.796  0.6476 >     ARCH Lag[11]     2.596 2.440 1.677  0.6695 > > >     Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch >     consider the lags 7,9 and 11 as the most important ones? > >     Thank you and best regards, >     Lukas > >     _______________________________________________ >     [hidden email] >     mailing list >     https://stat.ethz.ch/mailman/listinfo/r-sig-finance>     -- Subscriber-posting only. If you want to post, subscribe first. >     -- Also note that this is not the r-help list where general R >     questions should go. > > -- > > ______________________________ > > Amit Mittal > Pursuing Ph.D. in Finance and Accounting > Indian Institute of Management, Lucknow > Visit my SSRN author page: > http://ssrn.com/author=2665511> * Top 10% Downloaded Author on SSRN > Mob: +91 7525023664 > > This message has been sent from a mobile device. I may contact you again. > > _________________ >         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Re: ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

 Lukas, The rugarch vignette references this paper, have you read it? http://cecas.clemson.edu/~cgallag/publications/FishGal.pdfFor more details you can follow references therein. Josh On Mon, Oct 22, 2018 at 2:29 PM Lukas Halbeisen <[hidden email]> wrote: > Hi Amit, > > thanks for your quick reply. :) > > I invested today another 4 hours to find some adequate information, > which lags should be tested. As well, I checked "Applied Econometric > Time Series" from Enders to find some appropiate information to this > matter, but with no result. > > Would you be so kind to give me some more details to the references you > are talking about? Or can you tell me how the methodology is called, > that would be very helpful for me. > > Thank you very much and best regards, > Lukas > > Am 20.10.2018 um 21:38 schrieb Amit Mittal: > > Try and get hold of basic econometric texts like today and enders (two > > separate authors) it is a well described methodology > > > > On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <[hidden email] > > > wrote: > > > >     Hi all, > > > >     I am currently working on my master thesis and have to evaluate some > >     GARCH-Modells. > > > >     What I am wondering: > > > >     How are the lags picked up for the Weighted LB-Test as well as for > >     the > >     ARCH LM Test. > > > >     For instance I have fitted a GARCH(3,3)-Modell: > > > >     Weighted Ljung-Box Test on Standardized Squared Residuals > >     ------------------------------------ > >                               statistic  p-value > >     Lag[1]                       9.052 0.002624 > >     Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672 > >     Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824 > >     d.o.f=6 > > > > > >     The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what > >     is the > >     reason? Is there any reference where this kind of calculation has > >     been > >     described? > > > > > >     Weighted ARCH LM Tests > > > >     ------------------------------------ > >                   Statistic Shape Scale P-Value > >     ARCH Lag[7]      1.375 0.500 2.000  0.2409 > >     ARCH Lag[9]      1.462 1.485 1.796  0.6476 > >     ARCH Lag[11]     2.596 2.440 1.677  0.6695 > > > > > >     Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch > >     consider the lags 7,9 and 11 as the most important ones? > > > >     Thank you and best regards, > >     Lukas > > > >     _______________________________________________ > >     [hidden email] > >     mailing list > >     https://stat.ethz.ch/mailman/listinfo/r-sig-finance> >     -- Subscriber-posting only. If you want to post, subscribe first. > >     -- Also note that this is not the r-help list where general R > >     questions should go. > > > > -- > > > > ______________________________ > > > > Amit Mittal > > Pursuing Ph.D. in Finance and Accounting > > Indian Institute of Management, Lucknow > > Visit my SSRN author page: > > http://ssrn.com/author=2665511> > * Top 10% Downloaded Author on SSRN > > Mob: +91 7525023664 > > > > This message has been sent from a mobile device. I may contact you again. > > > > _________________ > > > >         [[alternative HTML version deleted]] > > _______________________________________________ > [hidden email] mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. >         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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Re: ugarchfit - Weighted Ljung-Box Test and ARCH LM Test

 In reply to this post by Lukas Halbeisen Ruey tsay - analysis of financial time series Enders - Applied Economet time series Greene ------------ Amit Mittal PhD in Finance and Accounting (tbd) IIM Lucknow http://ssrn.com/author=2665511*Top 10%, downloaded author since July 2017 ------------ Sent from my Outlook for Android https://aka.ms/ghei36________________________________ From: Lukas Halbeisen <[hidden email]> Sent: Monday, October 22, 2018 11:59:01 PM To: [hidden email] Cc: [hidden email] Subject: Re: [R-SIG-Finance] ugarchfit - Weighted Ljung-Box Test and ARCH LM Test Hi Amit, thanks for your quick reply. :) I invested today another 4 hours to find some adequate information, which lags should be tested. As well, I checked "Applied Econometric Time Series" from Enders to find some appropiate information to this matter, but with no result. Would you be so kind to give me some more details to the references you are talking about? Or can you tell me how the methodology is called, that would be very helpful for me. Thank you very much and best regards, Lukas Am 20.10.2018 um 21:38 schrieb Amit Mittal: Try and get hold of basic econometric texts like today and enders (two separate authors) it is a well described methodology On Sun 21 Oct, 2018, 12:55 AM Lukas Halbeisen, <[hidden email]> wrote: Hi all, I am currently working on my master thesis and have to evaluate some GARCH-Modells. What I am wondering: How are the lags picked up for the Weighted LB-Test as well as for the ARCH LM Test. For instance I have fitted a GARCH(3,3)-Modell: Weighted Ljung-Box Test on Standardized Squared Residuals ------------------------------------                           statistic  p-value Lag[1]                       9.052 0.002624 Lag[2*(p+q)+(p+q)-1][17]    14.593 0.070672 Lag[4*(p+q)+(p+q)-1][29]    20.134 0.129824 d.o.f=6 The lags are calculated by the formular 2*(p+q)+(p+q)-1. But what is the reason? Is there any reference where this kind of calculation has been described? Weighted ARCH LM Tests ------------------------------------               Statistic Shape Scale P-Value ARCH Lag[7]      1.375 0.500 2.000  0.2409 ARCH Lag[9]      1.462 1.485 1.796  0.6476 ARCH Lag[11]     2.596 2.440 1.677  0.6695 Same for the ARCH-LM modell. I have 6 d.o.f. but why does rugarch consider the lags 7,9 and 11 as the most important ones? Thank you and best regards, Lukas _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go. -- ______________________________ Amit Mittal Pursuing Ph.D. in Finance and Accounting Indian Institute of Management, Lucknow Visit my SSRN author page: http://ssrn.com/author=2665511* Top 10% Downloaded Author on SSRN Mob: +91 7525023664 This message has been sent from a mobile device. I may contact you again. _________________         [[alternative HTML version deleted]] _______________________________________________ [hidden email] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
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