MCHdiag: Multivariate Conditional Heteroscedastic Model Checking

Description Usage Arguments Details Value Author(s) References

Description

Apply four portmanteau test statistics to check the validity of a fitted multivariate volatility model

Usage

1
MCHdiag(at, Sigma.t, m = 10)

Arguments

at

A T-by-k matrix of residuals for a k-dimensional asset return series

Sigma.t

The fitted volatility matrices. The dimension is T-by-k^2 matrix

m

The number of lags used in the tests. Default is 10.

Details

The four test statistics are given in Tsay (2014, Chapter 7)

Value

Four test statistics and their p-values

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 7). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.


MTS documentation built on Oct. 10, 2018, 5:04 p.m.