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:
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).

Returns:
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


Last update: May 25, 2024