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.
# S3 method for fGARCH
tsdiag(object, gof.lag = NULL, ask = FALSE, ..., plot = c(4L, 5L, 7L),
layout = NULL)(experimental, may change) a list with components:
standardised conditional residuals,
goodness-of-fit tests, pretending parameters are known,
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.
an object from class "fGARCH", as returned by
garchFit.
maximal lag for portmanteau tests.
if TRUE present a menu of available plots, see Details.
not used.
if TRUE all available plots; a vector of positive integers
specifies a subset of the available plots.
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.
Georgi N. boshnakov
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:
paste0("\\tabular{rl}{",
paste0(1:length(fGarch:::.tsdiag_choices), " \\tab ",
fGarch:::.tsdiag_choices, collapse = " \\cr\n "), "}\n") 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.
fGARCH method for plot,
set.seed(20230612)
x <- garchSim(n = 200)
fit <- garchFit(formula = ~ garch(1, 1), data = x, trace = FALSE)
fit_test <- tsdiag(fit)
fit_test
## 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)))
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