# statsmodels.stats.diagnostic.het_arch¶

statsmodels.stats.diagnostic.het_arch(resid, nlags=None, autolag=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. The behavior of this parameter will change after 0.12.

autolag{str, None}, default None

If None, then a fixed number of lags given by maxlag is used. This parameter is deprecated and will be removed after 0.12. Searching for model specification cannot control test size.

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