新手,拟合了一个GARCH(1,1),然后做lbqtest,第一个均值方程是拒绝H0,如果模型合适应该是都不拒绝吧,答案是GARCH(1,1),不知道哪里出错了。。。
model = garch(1,1);
[Es*****l, EstParamCov,logL,info] = estimate(model,r)
v = infer(Es*****l,r);
inn = a./sqrt(v); % a is original residual, inn is standardized residual
at = inn;
% adequacy checking
[h,p] = lbqtest(at,'Lags',20) %check for mean equation
[h2,p2] = lbqtest(at.^2,'Lags',20) %check for volatility equation