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statsmodels.stats.diagnostic.het_arch

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

Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH)

Parameters:

resid : ndarray, (nobs,)

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)

Returns:

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

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