residDiag: Residual diagnostics

In ccgarch2: Conditional Correlation GARCH Models

Description

Carrying out residual diagnostics for the standardized residuals from the CCC-, DCC- or CDCC-GARCH models.

Usage

residDiag(object)
## S3 method for class 'residDiag'
print(x, digits = 4, ...)

Arguments

object	an object of the class "ccc", "dcc" or "cdcc"
x	an object of the class "residDiag".
digits	the number of digits to be displayed.
...	optional arguments. Currently not in use.

Details

A convenient wrapper to lb.test and jb.test carrying out the Jarque-Bera and Ljung-Box tests for the standardized residuals.

Value

An S3 class object "residDiag" is returned. The object is a list with the following components.

jb	the Jarque-Bera test statistics and p-values for the standardized residuals.
lb	the Ljung-Box test statistics and p-values for the standardized residuals.
lb2	the Ljung-Box test statistics and p-values for the squared standardized residuals.

References

Jarque, C.M. and A.K. Bera (1987), “A Test for Normality of Observations and Regression Residuals”, International Statistical Review, 55, 163–172.

Ljung, G.M. and G.E.P. Box (1978): “On a Measure of Lack of Fit in Time-Series Models”, Biometrika, 65, 297–303.

Lomnicki, Z.A. (1961), “Tests for Departure from Normality in the Case of Linear Stochastic Processes”, Metrika, 4, 37–62.

McLeod, A.I., and W.K. Li (1983): “Diagnostic checking ARMA time series models using squared-residual autocorrelations”, Journal of Time Series Analysis, 4, 269–273.

See Also

lb.test, jb.test

Examples

## Not run: 
residDiag(object)

## End(Not run)

ccgarch2 documentation built on May 2, 2019, 5:56 p.m.