ArchTest: ARCH LM Test

In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

ARCH LM Test

Description

Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH)

Usage

ArchTest (x, lags=12, demean = FALSE) 

Arguments

x	numeric vector
lags	positive integer number of lags
demean	logical: If TRUE, remove the mean before computing the test statistic.

Details

Computes the Lagrange multiplier test for conditional heteroscedasticity of Engle (1982), as described by Tsay (2005, pp. 101-102).

This is provided for compatibility with 'archTest' in the S-Plus script in Tsay (p. 102).

Value

an object of class 'htest'

Author(s)

Bernhard Pfaff

See Also

AutocorTest

Examples

data(m.intc7303)
intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12)
# Matches answer on Tsay (p. 102) 

FinTS documentation built on Jan. 27, 2024, 3:01 a.m.