arch_stat.RdComputes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the \(R^2\) value of an autoregressive model of order lags applied
to \(x^2\).
arch_stat(x, lags = 12, demean = TRUE)
| x | a univariate time series |
|---|---|
| lags | Number of lags to use in the test |
| demean | Should data have mean removed before test applied? |
A numeric value.