goodn_of_fit_test-fEGarch_fit-method: Adjusted Pearson Goodness-of-Fit Test for Standardized Model...

In fEGarch: SM/LM EGARCH & GARCH, VaR/ES Backtesting & Dual LM Extensions

Adjusted Pearson Goodness-of-Fit Test for Standardized Model Residuals

Description

Consider a probability integral transform on the standardized residuals of a fitted model and apply a Pearson goodness-of-fit test to the binned data using a selection of predefined number of bins.

Usage

## S4 method for signature 'fEGarch_fit'
goodn_of_fit_test(object, n_bins = c(20, 30, 40, 50), silent = FALSE, ...)

Arguments

object	an object of class "fEGarch_fit" as returned by the fitting functions of this package like for example fEGarch.
n_bins	a numeric vector giving the number of bins to use.
silent	a logical indicating whether or not to print the test results in a well-formatted manner to the console.
...	currently without purpose.

Details

Use a probability integral transform on the standardized residuals of a fitted model. This is then the basis to conduct a Pearson goodness-of-fit chi-square test.

Value

Returns a numeric matrix invisibly.

Examples

window.zoo <- get("window.zoo", envir = asNamespace("zoo"))
rt <- window.zoo(SP500, end = "2002-12-31")
spec <- fEGarch_spec()
model <- fEGarch(spec, rt)
goodn_of_fit_test(model)

fEGarch documentation built on Sept. 11, 2025, 5:11 p.m.