Description Usage Arguments Details Value Author(s) References Examples

Perform the McLeod-Li test for conditional heteroscedascity (ARCH).

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`object` |
a fitted Arima model, ususally the output from the arima function. If supplied, then the Mcleod-Li test is applied to the residuals of the model, and the y-argument is ignored. |

`y` |
time series data with which one wants to test for the presence of conditional heteroscedascity |

`gof.lag` |
maximum number of lags for which the test is carried out. |

`col` |
color of the reference line |

`omit.initial` |
suppress the initial (d+Ds) residuals if set to be TRUE |

`plot` |
suppress plotting if set to be FALSE |

`...` |
other arguments to be passed to the plot function |

The test checks for the presence of conditional heteroscedascity by computing the Ljung-Box (portmanteau) test with the squared data (if y is supplied and object suppressed) or with the squared residuals from an arima model (if an arima model is passed to the function via the object argument.)

`pvlaues` |
the vector of p-values for the Ljung-Box test statistics
computed using the first |

Kung-Sik Chan

McLeod, A. I. and W. K. Li (1983). Diagnostic checking ARMA time series models using squared residual autocorrelations. Journal of Time Series Analysis, 4, 269273.

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```
Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 2013-03-22
Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-17. For overview type 'help("mgcv-package")'.
Loading required package: tseries
Attaching package: 'TSA'
The following objects are masked from 'package:stats':
acf, arima
The following object is masked from 'package:utils':
tar
```

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