Dear R helping team,
I just want to test whether there is a false convergence in my GARCH(1,1)
model. On my R console it dose not shown a false converge. Here are my command :
> arch=garch(m2$residuals,order=c(1,1),trace=F)> arch
Call:garch(x = m2$residuals, order = c(1, 1), trace = F)
Coefficient(s): a0 a1 b1 8.272e-07 1.195e-01 8.557e-01
> logLik(arch)'log Lik.' 1493.282 (df=3)> AIC(arch)[1] -2980.563> summary(arch)
Call:garch(x = m2$residuals, order = c(1, 1), trace = F)
Model:GARCH(1,1)
Residuals: Min 1Q Median 3Q Max -2.55869 -0.65137
-0.08089 0.71658 2.79273
Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 8.272e-07
6.203e-07 1.333 0.18239 a1 1.195e-01 4.040e-02 2.959 0.00308 ** b1
8.557e-01 4.861e-02 17.606 < 2e-16 ***---Signif. codes: 0 ¡®***¡¯ 0.001
¡®**¡¯ 0.01 ¡®*¡¯ 0.05 ¡®.¡¯ 0.1 ¡® ¡¯ 1
Diagnostic Tests: Jarque Bera Test
data: ResidualsX-squared = 4.3863, df = 2, p-value = 0.1116
Box-Ljung test
data: Squared.ResidualsX-squared = 1.2309, df = 1, p-value = 0.2672
thank you very much
Kind Regards
penny
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