archtest {fDMA}

Computes Engle's ARCH Test.

Description

This function computes Engle's ARCH test. The null hypothesis of this Lagrange Multiplier test is that a series of residuals exhibits no ARCH effects. The alternative hypothesis is that ARCH(lag) effects are present. The lag is specified by the User.

Usage

archtest(ts,lag=NULL)

Arguments

ts

vector, the tested time-series

lag

numeric, suspected order of ARCH process, if not specified lag=1 is taken

Value

class htest object, list of

statistic

test statistic

parameter

lag used in the test

alternative

alternative hypothesis of the test

p.value

p-value

method

name of the test

data.name

name of the tested time-series

References

Engle, R. F., 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50, 987–1007.

Examples

wti <- crudeoil[-1,1]
ld.wti <- (diff(log(wti)))[-1,]
arch <- archtest(ts=as.vector(ld.wti),lag=10)