{smcl}
{* *! version 1.03 2008-03-25}{...}
{cmd:help archqq}
{hline}
{title:Q-Q plots and tests to assess distributional assumptions for ARCH models}
{title:Syntax}
{p 8 25 2}
{cmd:archqq}
[{varname}]
{ifin}
[{cmd:,}
{opt dist:ribution(dist [#])}
{opt nog:raph}
{opt not:est}
{opt jb}]
{title:Description}
{p}{cmd:archqq} is primarily for use after {cmd:arch} but can also be applied to an arbitrary
variable. It displays Q-Q plots of the standardized residuals from an ARCH model
against a standard normal, t-distribution normalized to variance 1 or the GED distribution.
The distribution (and degrees of freedom for a t-distribution or shape parameter for the GED)
is the one used with {cmd:arch} if not specified explicitly.
{p}Additionally, the data and assumed moments, mean, variance, skewness and kurtosis
and.the Kolmogorov-Smirnov test for distribution are reported. In addition the Jarque-Bera
test for normality is reported if the assumed distribution is normal. Optionally,
a Jarque-Bera type test generalized to allow other null hypothesis than a normal
distribution can be reported. Note that the properties of the generalized test are unknown.
In particular, the test appears to have very low power when
the alternative is a distribution with thinner tails than the null.
{p}If a variable is specified the comparison distribution is scaled to the data mean and variance.
{title:Options}
{synoptset 22}{...}
{synopthdr:option}
{synoptline}
{synopt:{opt dist:ribution(dist [#])}}Use the {it:dist} distribution with parameter {it:#}.
{it:dist} can be one {cmd:gaussian}, {cmd:normal}, {cmd:t} or {cmd:ged}. {cmd:gaussian} and {cmd:normal}
are synonyms. The second argument specifies the degrees of freedom for {cmd:t} or the
shape parameter for {cmd:ged} and is not allowed with
{cmd:gaussian} and {cmd:normal}. The default is {cmd:gaussian} if a variable is specified,
otherwise the default is taken from the {cmd:arch} estimation results.
{synopt:{opt nog:raph}}Suppress display of Q-Q plot.
{synopt:{opt not:test}}Suppress display of moments and test statistics.
{synopt:{opt jb}}Force calculation of Jarque-Bera type test with non-normal distributions.
{synoptline}
{title:Examples}
{pstd}Setup{p_end}
{phang2}{cmd:. webuse wpi1}{p_end}
{pstd}Fit GARCH(1,1) under normality and display Q-Q plot{p_end}
{phang2}{cmd:. arch D.ln_wpi, arch(1) garch(1)}{p_end}
{phang2}{cmd:. archqq}{p_end}
{pstd}Fit GARCH(1,1) with a t-distribution and display Q-Q plot{p_end}
{phang2}{cmd:. arch D.ln_wpi, arch(1) garch(1) dist(t)}{p_end}
{phang2}{cmd:. archqq}{p_end}
{title:Author}
{pstd}Sune Karlsson, Örebro University, Sweden{p_end}
{pstd}sune.karlsson@oru.se{p_end}