ARCH LM Test

Description

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

Usage

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

Arguments

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) 

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(FinTS)
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FinTS/ArchTest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: ArchTest
> ### Title: ARCH LM Test
> ### Aliases: ArchTest
> ### Keywords: ts
> 
> ### ** Examples
> 
> data(m.intc7303)
> intcLM <- ArchTest(log(1+as.numeric(m.intc7303)), lag=12)
> # Matches answer on Tsay (p. 102) 
> 
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>