statsmodels.stats.diagnostic.het_arch(resid, maxlag=None, autolag=None, store=False, regresults=False, ddof=0)[source]

Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH)

  • resid (ndarray) – residuals from an estimation, or time series
  • maxlag (int) – highest lag to use
  • autolag (None or string) – If None, then a fixed number of lags given by maxlag is used.
  • store (bool) – If true then the intermediate results are also returned
  • ddof (int) – Not Implemented Yet 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+a for an ARMA(p,q) (need reference, based on discussion on R finance mailinglist)

  • 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
  • resstore (instance (optional)) – a class instance that holds intermediate results. Only returned if store=True


verified agains R:FinTS::ArchTest