GARCHtests function

Univariate GARCH test statistics

This function provides the results of multiple univariate GARCH test statistics

GARCHtests(fit, lag = 20, prob = 0.05, conf.level = 0.9)

Arguments

• fit: Fitted univariate GARCH
• lag: Lag length of weighted Portmanteau statistics
• prob: The quantile (coverage) used for the VaR.
• conf.level: Confidence level of VaR test statistics

Returns

Get best univariate GARCH

References

Ghalanos, A. (2014). rugarch: Univariate GARCH models, R package version 1.3-3.

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2021). The impact of Euro through time: Exchange rate dynamics under different regimes. International Journal of Finance & Economics, 26(1), 1375-1408.

Author(s)

David Gabauer