portmanteau.test

Method for a Portmanteau test of the null hypothesis of no remaining correlation in the co-variances of the estimated BEKK residuals.

Methods and tools for estimating, simulating and forecasting of so-called BEKK-models (named after Baba, Engle, Kraft and Kroner) based on the fast Berndt–Hall–Hall–Hausman (BHHH) algorithm described in Hafner and Herwartz (2008) <doi:10.1007/s00184-007-0130-y>. For an overview, we refer the reader to Fülle et al. (2024) <doi:10.18637/jss.v111.i04>.

Markus J. Fülle

BEKKs

Multivariate Conditional Volatility Modelling and Forecasting

Alexander Lange

Christian M. Hafner

Helmut Herwartz

portmanteau.test function

<dl><dt>x</dt>
<dd>An object of class "bekkFit" from function bekk_fit.</dd>
<dt>lags</dt>
<dd>An integer defining the lag length.</dd></dl>

Arguments

Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals. — portmanteau.test

<dl>

<dt>x</dt>
<dd>An object of class "bekkFit" from function bekk_fit.</dd>


<dt>lags</dt>
<dd>An integer defining the lag length.</dd>

</dl>

portmanteau.test: Performing a Portmanteau test checking for remaining correlation in the empirical co-variances of the estimated BEKK residuals.

Description

Usage

Value

Arguments

Details

References