Residuals in the Ljung box test

Question

does anybody know what type of residuals is used in the Ljung box test in R? raw or standardized?

Because basically when I fit a GARCH model using garchFit, the summary() function gives me all the Ljung box test results. But when I use ugarch to fit an EGARCH model, then the results don't come up. SO I try to use Box.test((residuals(eGARCH,standardize=T))^2,lag=5,type="Ljung-Box",fitdf=2) but I get very different results whether I use standardize or not. Box.test((residuals(gjrGARCH1,standardize=T))^2,lag=5,type="Ljung-Box",fitdf=2)

Thank you

Answer 1

So you are asking whether the function Box.test requires standardized or raw residuals as input? I do not know this function but as you mention that the results change based on your input it should be such that the function requires standardized values. In case a standardization is implemented directly the output should not differ because you either plug-in values that are (i) standardized (then nothing changes by standardization) or values that are (ii) not standardized (then they get standardized and the same variables are processed as in (i)).