arch_test {BETS}R Documentation

Perform an ARCH test

Description

Performs an ARCH test and show the results. Formerly, this function was part of FinTS, now an obsoleted package.

Usage

arch_test(x, lags = 12, demean = FALSE, alpha = 0.5)

Arguments

x

A ts object. The time series

lags

An integer. Maximum number of lags

demean

A boolean. Should the series be demeaned?

alpha

A numeric value. Significance level

Value

A list with the results of the ARCH test

Author(s)

Spencer Graves spencer.graves@prodsyse.com, Talitha Speranza talitha.speranza@fgv.br

[Package BETS version 0.4.9 Index]