# statsmodels.stats.diagnostic.het_arch¶

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)

Parameters: 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

Notes

verified agains R:FinTS::ArchTest