首先我的目的是做了ARMA模型 然后要检查残差项的异方差和相关性 以此加GARCH 模型
首先相关性应该是用
residuals1是用ARMA(1,1)的 residuals2是用ARMA(2,2)的(两个模型出来的怎么查这么多)
ArchTest()函数是对时间序列Arch效应的拉格朗日检验 Box.test()和A检验是Ljung-Box对时间序列的相关性检验?
对上述三个函数的参数设定以及检验依据我还是很疑惑!!!以至于对这三个的检验值我不是很理解 T T 求助!!!
首先是对residuals1
> Box.test(residuals1,type="Ljung-Box",lag=6,fitdf=1)
Box-Ljung test
data: residuals1
X-squared = 16.463, df = 5, p-value = 0.005639
> AutocorTest(residuals1,lag=6,type="Ljung-Box")
Box-Ljung test
data: residuals1
X-squared = 16.463, df = 6, p-value = 0.01147
> ArchTest(residualsq1,lags=12)
ARCH LM-test; Null hypothesis: no ARCH effects
data: residualsq1
Chi-squared = 14.499, df = 12, p-value = 0.27
然后是对residuals2
> Box.test(residuals2,type="Ljung-Box",lag=6,fitdf=1)
Box-Ljung test
data: residuals2
X-squared = 2.1989, df = 5, p-value = 0.821
> AutocorTest(residuals2,lag=6,type="Ljung-Box")
Box-Ljung test
data: residuals2
X-squared = 2.1989, df = 6, p-value = 0.9005
> ArchTest(residualsq2,lags=12)
ARCH LM-test; Null hypothesis: no ARCH effects
data: residualsq2
Chi-squared = 27.866, df = 12, p-value = 0.005788