Diagnostic plots and statistics for fitted GARCH models

Produce diagnostics for fitted GARCH/APARCH models. The method offers several tests, plots of autocorrelations and partial autocorrelations of the standardised conditional residuals, ability to control which graphs are produced (including interactively), as well as their layout.

Usage

# S3 method for fGARCH
tsdiag(object, gof.lag = NULL, ask = FALSE, ..., plot = c(4L, 5L, 7L), 
       layout = NULL)

Arguments

object: an object from class "fGARCH", as returned by garchFit.
gof.lag: maximal lag for portmanteau tests.
ask: if TRUE present a menu of available plots, see Details.
...: not used.
plot: if TRUE all available plots; a vector of positive integers specifies a subset of the available plots.
layout: a list with arguments for graphics::layout for the plots. The default plots the autocorrelations of the standardised conditional residuals and their squares, as well as a QQ-plot for the fitted conditional distribution.

Details

Compute and graph diagnostics for fitted ARMA-GARCH/APARCH models.

plot can be TRUE to ask for all plots or a vector of positive integers specifying which plots to consider. Currently the following options are available:

1	Residuals
2	Conditional SDs
3	Standardized Residuals
4	ACF of Standardized Residuals
5	ACF of Squared Standardized Residuals
6	Cross Correlation between r^2 and r
7	QQ-Plot of Standardized Residuals

The default produces plots of autocorrelations and partial autocorrelations of the standardised conditional residuals, as well as a QQ-plot for the fitted conditional distribution. If plot is TRUE, you probably need also ask = TRUE.

If argument plot is of length two the graphics window is split into 2 equal subwindows. Argument layout can still be used to change this. If argument plot is of length one the graphics window is not split at all.

In interactive sessions, if the number of requested graphs (as specified by argument plot) is larger than the number of graphs specified by the layout (by default 3), the function makes the first graph and then presents a menu of the requested plots.

Argument layout can be used to change the layout of the plot, for example to put two graphs per plot, see the examples. Currently it should be a list of arguments for layout, see ?layout. Don't call layout youself, as that will change the graphics device prematurely.

The computed results are returned (invisibly). This is another difference from stats::tsdiag which doesn't return them.

Value

(experimental, may change) a list with components:

residuals

standardised conditional residuals,

gof

goodness-of-fit tests, pretending parameters are known,

gof_composite

goodness-of-fit tests taking into account that the parameters are estimated.

Only components that are actually computed are included, the rest are NULL or absent.

Author

Georgi N. boshnakov

Examples

set.seed(20230612)
x <- garchSim(n = 200)
fit <- garchFit(formula = ~ garch(1, 1), data = x, trace = FALSE)
fit_test <- tsdiag(fit)

fit_test
#> 
#> gof:
#>                  statistic   p.value
#> Anderson-Darling 3.1812694 0.2750755
#> Cramer-vonMises  0.6032679 0.2521133
#> 
#> gof_composite:
#>                   statistic   p.value
#> Anderson-Darling 0.38205009 0.8661955
#> Cramer-vonMises  0.04694483 0.8950729

## 2x2 matrix with acf of r, r^2 on diag, cor(r,r^2) below it, and qq-plot
tsdiag(fit, plot = c(4, 6, 7, 5), layout = list(matrix(1:4, nrow = 2)))