R/archTest.R

In KevinKotze/tsm: Time Series Modelling

#' Perform Lagrange Multiplier Test for ARCH effect of a time series.
#'
#' @param rtn Time series variable.
#' @param m Selected AR order.
#' @return ARCH Lagrange Multiplier Statistics.
#' @examples



"archTest" <- function(rtn, m = 10) {
  y <- (rtn - mean(rtn)) ^ 2
  T <- length(rtn)
  atsq <- y[(m + 1):T]
  x <- matrix(0, (T - m), m)
  for (i in 1:m) {
    x[, i] <- y[(m + 1 - i):(T - i)]
  }
  md <- lm(atsq ~ x)
  summary(md)
}