Multivariate Conditional Heteroscedastic Model Checking
Apply four portmanteau test statistics to check the validity of a fitted multivariate volatility model
MCHdiag(at, Sigma.t, m = 10)
at |
A T-by-k matrix of residuals for a k-dimensional asset return series |
Sigma.t |
The fitted volatility matrices. The dimension is T-by-k^2 matrix |
m |
The number of lags used in the tests. Default is 10. |
The four test statistics are given in Tsay (2014, Chapter 7)
Four test statistics and their p-values
Ruey S. Tsay
Tsay (2014, Chapter 7). Multivariate Time Series Analysis with R and Financial Applications. John Wiley. Hoboken, NJ.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.