Description Usage Arguments Value Author(s) References Examples

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.

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`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

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