Dear researchers
I would like to ask you, what is the correct number of Lags in ARCH LM Test? I
am referring to ArchTest in FinTS package, but other ArchTest (such as the one
in Eviews) provide same results. In many time series, when I choose Lags
between 1:5 the p.value is usually higher than 0.05, but with increasing of
Lags, p.value becomes smaller. So how to do the correct decision if for lag=1,
the time series looks homoscedastic(NO ARCH Effects), but for lags=5 and
lags=12 result is heteroscedastic (presence of ACH) or reverse?
Thank you
Sincerely Jan
#Example code
library(quantmod)
library(FinTS)
getSymbols("XPT/USD",src="oanda")
ret_xptusd<-as.numeric(diff(log(XPTUSD)))
ones<-rep(1,500)
ols<-lm(ts(ret_xptusd)~ones);ols
residuals<-ols$residuals
ArchTest(residuals,lags=1) # p-value = 0.008499
ArchTest(residuals,lags=5) # p-value = 0.08166
ArchTest(residuals,lags=12) #p-value = 0.2317
_______________________________________________
[email protected] mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions should
go.
