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verified publisher icon bashtage

Li-Mak test for residual from arch model

Open holder-fo opened this issue 5 years ago • 2 comments

Hi, proffessor. Is there any plan to add Li-Mak test for residual from arch model. I only found this test usable in R WeightedPortTest, hope you can add it in your work, it would be helpful for checking ARCH effect of residual.

holder-fo avatar Aug 24 '20 08:08 holder-fo

I'm not sure this is a practical test in practice since as far as I can tell it is only designed for ARCH-type models and otherwise it requires model scores.

bashtage avatar Aug 24 '20 09:08 bashtage

Yes, it is only designed for ARCH-type models and it is recommanded for checking residual from ARCH-type models. That's why i ask for your help. Or is it any alternative test to check ARCH effect of residual you can recommand to me? I am thinking how to make sure my SARIMA-GARCH model are enough. Hope you can help me.

holder-fo avatar Aug 25 '20 01:08 holder-fo