recursive.arch.multi: Compute a sequence of multivariate ARCH tests
In deanfantazzini/bitcoinFinance: Quantitative Finance with Cryptocurrencies

recursive.arch.multi

R Documentation

Compute a sequence of multivariate ARCH tests

Description

This function computes a sequence of multivariate ARCH tests

Usage

recursive.arch.multi(resids, max.lag)

Arguments

`resids`	is a dataframe containing the standardized residuals from a multivariate model
`max.lag`	is the the max lag used to compute the multivariate ARCH test

Details

This function computes a sequence of multivariate ARCH tests using a modified version of the original arch.multi internal function of the vars package

Value

results is a list with the lag, statistic and p-values

Examples

## Not run: 
 Sigma <- matrix(c(10,3,3,2),2,2)
 dat.norm<- MASS::mvrnorm(n = 1000, rep(0, 2), Sigma)
 recursive.arch.multi(dat.norm,20)

## End(Not run)

deanfantazzini/bitcoinFinance documentation built on June 12, 2024, 4:10 p.m.