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