GARCHtests: Univariate GARCH test statistics
In ConnectednessApproach: Connectedness Approach

GARCHtests

R Documentation

Univariate GARCH test statistics

Description

This function provides the results of multiple univariate GARCH test statistics

Usage

GARCHtests(fit, lag = 20, prob = 0.05, conf.level = 0.9)

Arguments

`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

Value

Get best univariate GARCH

Author(s)

David Gabauer

References

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.

ConnectednessApproach documentation built on Aug. 31, 2022, 5:05 p.m.