library(rgarch)
data(dmbp)
spec = ugarchspec()
fit = ugarchfit(data = dmbp[,1], spec = spec)
fit
*---------------------------*
* GARCH Model Fit *
*---------------------------*
Spec
--------------------------
Model : sGARCH (1,1)
Exogenous Regressors in variance equation: none
Include Mean : TRUE
AR(FI)MA Model : (1,0,1)
Garch-in-Mean : FALSE
Exogenous Regressors in mean equation: none
Conditional Distribution: norm
......
......
Sign Bias Test
--------------------------
t-value prob sig
Sign Bias 1.50255 0.1331
Negative Sign Bias 0.02483 0.9802
Positive Sign Bias 0.79126 0.4289
Joint Effect 3.07511 0.3802