archtest | R Documentation |
This function computes Engle's ARCH test. The null hypothesis of this Lagrange Multiplier test is that a series of residuals exhibits no ARCH effects. The alternative hypothesis is that ARCH(lag) effects are present. The lag
is specified by the User.
archtest(ts,lag=NULL)
ts |
|
lag |
|
class htest
object, list
of
statistic |
test statistic |
parameter |
|
alternative |
alternative hypothesis of the test |
p.value |
p-value |
method |
name of the test |
data.name |
name of the tested time-series |
Engle, R. F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987–1007.
wti <- crudeoil[-1,1]
ld.wti <- (diff(log(wti)))[-1,]
arch <- archtest(ts=as.vector(ld.wti),lag=10)
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