LMgarch.test: Test Lagrange Multipliers

Description Usage Arguments Value References Examples

View source: R/testLMforGARCH.R

Description

Test Lagrange Multipliers

Usage

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LMgarch.test(y, p, q)

Arguments

y

Numeric vector

p

ARCH order

q

GARCH order

Value

A list

LM

Statistic

p.value

p value

df

Degree of freedom

References

Lee, J. 1991. A Lagrange multiplier test for GARCH models. Economics Letters 37: 265-271.

Examples

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set.seed(1984)
y <- rnorm(500)
LMgarch.test(y, 1, 1)
# H0: alpha_1=beta_1=0 
# is accepted

fxjulio/slash documentation built on Nov. 18, 2017, 1:01 p.m.