arch_test {RMAWGEN}

arch.test function for varest2 object

Description

arch.test function for varest2 object

Usage

arch_test(object, interval = NULL, overlap = 20, list.output = FALSE,
  ...)

Arguments

object

a varest2 object

interval

string or subset interval of time (e.g. days) or length of this subset interval to which the ARCH test is applied (see Note). Default is NULL.

overlap

number of time instants (e.g. days) which are overlapped on two different subsequent intervals. Default is 20. It is used only if interval has length 1.

list.output

logical value. If TRUE the function returns a list of the test results of each interval. It is used if interval is not NULL. Default is FALSE.

...

further arguments for arch.test

Details

This function is a wrapper of arch.test. It can compute the test also for some subsets (intervals) of the time-series or for all the time-series divided in overlapping intervals. The intervals considered for the ARCH test are defined with the argument interval. If interval is an integer number instead of a vector, it indicates the length of the intervals in which the time-series is split. If interval is set to NULL, the test is done on the comprehensive residual time-series without splitting.

Value

One object or a list of objects with class attribute varcheck as reported in arch.test

See Also

arch.test