Description Usage Arguments Details Value Author(s) References

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

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

`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. |

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

Four test statistics and their p-values

Ruey S. Tsay

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

MTS documentation built on May 29, 2017, 5:15 p.m.

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