MCHdiag: Multivariate Conditional Heteroscedastic Model Checking
In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models
MCHdiag R Documentation
Multivariate Conditional Heteroscedastic Model Checking
Description
Apply four portmanteau test statistics to check the
validity of a fitted multivariate volatility model
Usage
MCHdiag(at, Sigma.t, m = 10)
Arguments
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.
Details
The four test statistics are given in Tsay (2014, Chapter 7)
Value
Four test statistics and their p-values
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 7). Multivariate Time Series Analysis with
R and Financial Applications. John Wiley. Hoboken, NJ.
d-/MTS documentation built on June 12, 2022, 12:50 a.m.
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| MCHdiag | R Documentation |
Multivariate Conditional Heteroscedastic Model Checking
Description
Apply four portmanteau test statistics to check the validity of a fitted multivariate volatility model
Usage
MCHdiag(at, Sigma.t, m = 10)
Arguments
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. |
Details
The four test statistics are given in Tsay (2014, Chapter 7)
Value
Four test statistics and their p-values
Author(s)
Ruey S. Tsay
References
Tsay (2014, Chapter 7). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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