statsmodels.stats.diagnostic.het_arch¶

statsmodels.stats.diagnostic.het_arch(resid, nlags=None, store=False, ddof=0)[source]¶

Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH).

Parameters:¶

resid : ndarray¶

residuals from an estimation, or time series

nlags : int, default None¶

Highest lag to use.

store : bool, default False¶

If true then the intermediate results are also returned

ddof : int, default 0¶

If the residuals are from a regression, or ARMA estimation, then there are recommendations to correct the degrees of freedom by the number of parameters that have been estimated, for example ddof=p+q for an ARMA(p,q).

Returns:¶

• lm (float) – Lagrange multiplier test statistic

• lmpval (float) – p-value for Lagrange multiplier test

• fval (float) – fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

• fpval (float) – pvalue for F test

• res_store (ResultsStore, optional) – Intermediate results. Returned if store is True.

Notes

verified against R:FinTS::ArchTest