gBox | R Documentation |
Perform a goodness-of-fit test for the GARCH model by checking whether the standardized residuals are iid based on the ACF of the absolute residuals or squared residuals.
gBox(model, lags = 1:20, x, method = c("squared", "absolute")[1], plot = TRUE)
model |
fitted model from the garch function of the tseries library |
lags |
a vector of maximum ACF lags to be used in the test |
x |
time series data to which the GARCH model is fitted |
method |
"squared": test is based on squared residuals; "absolute": test is based on absolute residuals |
plot |
logical variable, if TRUE, the p-values of the tests are plotted |
lags |
lags in the input |
pvalue |
a vector of p-values of the tests |
method |
method used |
x |
x |
Kung-Sik Chan
"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan
require(tseries) # need to uncomment this line when running the example data(CREF) r.cref=diff(log(CREF))*100 m1=tseries::garch(x=r.cref,order=c(1,1)) summary(m1) gBox(m1,x=r.cref,method='squared')
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