GARCHtests | R Documentation |
This function provides the results of multiple univariate GARCH test statistics
GARCHtests(fit, lag = 20, prob = 0.05, conf.level = 0.9)
fit |
Fitted univariate GARCH |
lag |
Lag length of weighted Portmanteau statistics |
prob |
The quantile (coverage) used for the VaR. |
conf.level |
Confidence level of VaR test statistics |
Get best univariate GARCH
David Gabauer
Ghalanos, A. (2014). rugarch: Univariate GARCH models, R package version 1.3-3.
Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2021). The impact of Euro through time: Exchange rate dynamics under different regimes. International Journal of Finance & Economics, 26(1), 1375-1408.
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