Timeline for Interpretation of the weighted portmanteau Li-Mak test for ARCH effects
Current License: CC BY-SA 4.0
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| Feb 24, 2021 at 9:41 | vote | accept | Guest | ||
| Feb 23, 2021 at 14:41 | comment | added | Richard Hardy | @Guest, thanks for correcting me. I have updated my answer accordingly. | |
| Feb 23, 2021 at 14:41 | history | edited | Richard Hardy | CC BY-SA 4.0 |
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| Feb 23, 2021 at 13:11 | comment | added | Guest |
Thank you Richard for the confirmation. It seems I indeed misinterpreted and am glad that my model is adequate. The LM function is from a specific package: A weighted portmanteau test for testing the null hypothesis of adequately fitted ARCH process. This is essentially a weighted version of the statistic proposed by Li and Mak (1994), as proposed by Fisher and Gallagher (2012).
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| Feb 21, 2021 at 16:04 | history | answered | Richard Hardy | CC BY-SA 4.0 |