signbias_test {tstests}

Sign Bias Test

Description

The sign bias test of Engle and Ng (1993).

Usage

signbias_test(x, sigma = 1, ...)

Arguments

x

a series representing the residuals of some estimated model.

sigma

either a scalar representing the residuals standard deviation else a vector of the same length as x representing the conditional standard deviation of the residuals.

...

additional arguments passed to linearHypothesis, except the “test” which is fixed to use the Chisq test.

Value

An object of class “tstest.signbias” which has a print and as_flextable method.

References

Engle RF, Ng VK (1993). “Measuring and testing the impact of news on volatility.” The Journal of Finance, 48(5), 1749–1778.

Examples

library(tsgarch)
library(tsdistributions)
library(xts)
data("spy")
spyr <- na.omit(diff(log(spy)))
spec <- garch_modelspec(spyr, model = "garch", order = c(1,1),
constant = TRUE, distribution = "jsu")
mod <- estimate(spec)
print(signbias_test(residuals(mod), sigma(mod)))