archTest: ARCH test for univariate time series

In d-/MTS: All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

ARCH test for univariate time series

Description

Perform tests to check the conditional heteroscedasticity in a time series. The Ljung-Box statistics of squared series and a rank-based Ljung-Box test are used.

Usage

archTest(rt, lag = 10)

Arguments

rt	A scalar time series. If rt is a matrix, only the first column is used.
lag	The number of lags of ACF used in the Ljung-Box statistics. The default is 10.

Details

The Ljung-Box statistics based on the squared series are computed first. The rank series of the squared time series is than used to test the conditional heteroscedasticity.

Value

The Q-statistic and its p-value. Also, the rank-based Q statistic and its p-value.

Author(s)

Ruey Tsay

See Also

MarchTest

Examples

rt=rnorm(200)
archTest(rt)

d-/MTS documentation built on June 12, 2022, 12:50 a.m.