arch_stat: ARCH LM Statistic
In tsfeatures: Time Series Feature Extraction
arch_stat R Documentation
ARCH LM Statistic
Description
Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the R^2 value of an autoregressive model of order lags applied
to x^2.
Usage
arch_stat(x, lags = 12, demean = TRUE)
Arguments
x
a univariate time series
lags
Number of lags to use in the test
demean
Should data have mean removed before test applied?
Value
A numeric value.
Author(s)
Yanfei Kang
tsfeatures documentation built on Aug. 28, 2023, 5:09 p.m.
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| arch_stat | R Documentation |
ARCH LM Statistic
Description
Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the R^2 value of an autoregressive model of order lags applied
to x^2.
Usage
arch_stat(x, lags = 12, demean = TRUE)
Arguments
x |
a univariate time series |
lags |
Number of lags to use in the test |
demean |
Should data have mean removed before test applied? |
Value
A numeric value.
Author(s)
Yanfei Kang
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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