I am using the Rmarkdown to produce a html slides automatically, and I want to
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How to extract the standardized residuals tests section from the summary report?
Here are the R-code:
>library("fGarch")
>N = 200
>x.vec = as.vector(garchSim(garchSpec(rseed = 1985), n = N)[,1])
>fit=garchFit(~ garch(1,1), data = x.vec, trace = FALSE)
> summary(fit)
Title:
GARCH Modelling
Call:
garchFit(formula = ~garch(1, 1), data = x.vec, trace = FALSE)
Mean and Variance Equation:
data ~ garch(1, 1)
<environment: 0x000000002df6b330>
[data = x.vec]
Conditional Distribution:
norm
Coefficient(s):
mu omega alpha1 beta1
3.5418e-05 1.0819e-06 8.8855e-02 8.1200e-01
Std. Errors:
based on Hessian
Error Analysis:
Estimate Std. Error t value Pr(>|t|)
mu 3.542e-05 2.183e-04 0.162 0.871
omega 1.082e-06 1.051e-06 1.030 0.303
alpha1 8.885e-02 5.450e-02 1.630 0.103
beta1 8.120e-01 1.242e-01 6.538 6.25e-11 ***
---
Signif. codes: 0 ��***�� 0.001 ��**�� 0.01 ��*�� 0.05 ��.�� 0.1 �� �� 1
Log Likelihood:
861.9494 normalized: 4.309747
Description:
Mon May 25 09:10:52 2015 by user: WENSQ
Standardised Residuals Tests:
Statistic p-Value
Jarque-Bera Test R Chi^2 1.114092 0.5728988
Shapiro-Wilk Test R W 0.9932317 0.4911085
Ljung-Box Test R Q(10) 7.303961 0.6964713
Ljung-Box Test R Q(15) 8.712829 0.8920477
Ljung-Box Test R Q(20) 9.766984 0.972203
Ljung-Box Test R^2 Q(10) 11.88455 0.2928573
Ljung-Box Test R^2 Q(15) 14.93927 0.4558006
Ljung-Box Test R^2 Q(20) 20.08937 0.4523516
LM Arch Test R TR^2 11.57234 0.480607
Information Criterion Statistics:
AIC BIC SIC HQIC
-8.579494 -8.513527 -8.580273 -8.552798
Dr. WEN SONG-QIAO
SHENZHEN UNIVERSITY
SHENZHEN,CHINA
Email��w...@szu.edu.cn
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