signbias_test {tstests} | R Documentation |
The sign bias test of Engle and Ng (1993).
signbias_test(x, sigma = 1, ...)
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 |
An object of class “tstest.signbias” which has a print and as_flextable method.
Engle RF, Ng VK (1993). “Measuring and testing the impact of news on volatility.” The Journal of Finance, 48(5), 1749–1778.
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)))