GARCHtests {ConnectednessApproach}

Univariate GARCH test statistics

Description

This function provides the results of multiple univariate GARCH test statistics

Usage

GARCHtests(fit, lag = 20, prob = 0.05, conf.level = 0.9)

Arguments

fit

Fitted univariate GARCH

lag

Lag length of weighted Portmanteau statistics

prob

The quantile (coverage) used for the VaR.

conf.level

Confidence level of VaR test statistics

Value

Get best univariate GARCH

Author(s)

David Gabauer

References

Ghalanos, A. (2014). rugarch: Univariate GARCH models, R package version 1.3-3.

Antonakakis, N., Chatziantoniou, I., & Gabauer, D. (2021). The impact of Euro through time: Exchange rate dynamics under different regimes. International Journal of Finance & Economics, 26(1), 1375-1408.