fEGarch (version 1.0.1)

fit_test_suite,fEGarch_fit-method: Post-Estimation Fit-Tests

Description

Apply a collection of fit-tests, including a weighted Ljung-Box test for the simple and the squared standardized residuals, a sign-bias test, and an adjusted Pearson goodness-of-fit test.

Usage

# S4 method for fEGarch_fit
fit_test_suite(
  object,
  args_lbt = list(),
  args_sbt = list(),
  args_goft = list(),
  silent = FALSE,
  ...
)

Value

Returns a list with the four test results invisibly.

Arguments

object

an object of class "fEGarch_fit" as returned by the fitting functions of this package like for example fEGarch.

args_lbt

a list of changes to make to the default argument settings in ljung_box_test.

args_sbt

a list of changes to make to the default argument settings in sign_bias_test.

args_goft

a list of changes to make to the default argument settings in goodn_of_fit_test.

silent

a logical indicating whether or not to print the test results in a well-formatted manner to the console.

...

currently without purpose.

Examples

window.zoo <- get("window.zoo", envir = asNamespace("zoo"))
rt <- window.zoo(SP500, end = "2002-12-31")
spec <- fEGarch_spec()
model <- fEGarch(spec, rt)
fit_test_suite(model)