Description Usage Arguments Value References Examples
View source: R/testLMforGARCH.R
Test Lagrange Multipliers
1 | LMgarch.test(y, p, q)
|
y |
Numeric vector |
p |
ARCH order |
q |
GARCH order |
A list
Statistic
p value
Degree of freedom
Lee, J. 1991. A Lagrange multiplier test for GARCH models. Economics Letters 37: 265-271.
1 2 3 4 5 | set.seed(1984)
y <- rnorm(500)
LMgarch.test(y, 1, 1)
# H0: alpha_1=beta_1=0
# is accepted
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