statsmodels.stats.diagnostic.het_arch

statsmodels.stats.diagnostic.het_arch(resid, nlags=None, store=False, ddof=0, *, use_namedtuple=None)

Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH)

Parameters:

residndarray

residuals from an estimation, or time series

nlagsint, default None

Highest lag to use.

storebool, default False

If true then the intermediate results are also returned

ddofint, 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).

use_namedtuplebool, optional

Flag indicating whether to return the results as an LMTestResult NamedTuple instead of a plain tuple. When store=True the NamedTuple holds the same five elements as the legacy tuple, so it unpacks identically and is always returned, with no warning. When store=False the legacy four-element tuple is returned by default and a FutureWarning is issued.

Deprecated since version 0.15.0: In release 0.16.0 or after July 2027, whichever is later, the default will change to always return an LMTestResult. Set use_namedtuple=True to opt in now, or use_namedtuple=False to silence the warning and keep the current return type.

Returns:

LMTestResult

If use_namedtuple=True, a NamedTuple with fields lm, lmpval, fval, fpval, and res_store (res_store is None when not computed). See LMTestResult.

Otherwise (the deprecated default), a plain tuple made up of:

lmfloat

Lagrange multiplier test statistic

lmpvalfloat

p-value for Lagrange multiplier test

fvalfloat

fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

fpvalfloat

pvalue for F test

res_storeResultsStore, optional

Intermediate results. Returned if store is True.

Notes

verified against R:FinTS::ArchTest