acfGarchTest: Test for GARCH white noise

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/autocovariances.R

Description

Carry out a test for GARCH white noise

Usage

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acfGarchTest(acr, x, nlags, interval = 0.95)

Arguments

acr

autocorrelations.

x

time series.

nlags

how many lags to use.

interval

If not NULL, compute also confidence intervals with the specified coverage probability.

Details

acfGarchTest performs a test for uncorrelatedness of a time series. The null hypothesis is that the time series is GARCH, see Francq \& Zakoian (2010).

Unlike the autocorrelation IID test, the time series is needed here to estimate the covariance matrix of the autocorrelations under the null hypothesis.

The format of the return vaue is the same as for acfIidTest.

Value

a list with components "test" and "ci"

Author(s)

Georgi N. Boshnakov

References

\insertRef

FrancqZakoian2010garchsarima

See Also

whiteNoiseTest, acfIidTest

Examples

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## see also the examples for \code{\link{whiteNoiseTest}}
n <- 5000
x <- sarima:::rgarch1p1(n, alpha = 0.3, beta = 0.55, omega = 1, n.skip = 100)
x.acf <- autocorrelations(x)
x.pacf <- partialAutocorrelations(x)

acfGarchTest(x.acf, x = x, nlags = c(5,10,20))
acfGarchTest(x.pacf, x = x, nlags = c(5,10,20))

# do not compute CI's:
acfGarchTest(x.pacf, x = x, nlags = c(5,10,20), interval = NULL)

## plot methods call acfGarchTest() suitably if 'x' is given:
plot(x.acf, data = x)
plot(x.pacf, data = x)

## use 90% limits:
plot(x.acf, data = x, interval = 0.90)

sarima documentation built on Aug. 23, 2018, 9:03 a.m.