mcleodLiTest {nonlinearTseries}

McLeod-Li test

Description

McLeod-Li test for conditional heteroscedascity (ARCH).

Usage

mcleodLiTest(time.series, lag.max)

Arguments

time.series

The original time.series.

lag.max

Maximum number of lags for which to test for conditional heteroscedascity.

Value

A list containing the p.values for each of the Ljung-Box tests computed using lags ranging from 1 to lag.max.

References

Tsay, Ruey S., and Rong Chen. Nonlinear time series analysis. Vol. 891. John Wiley & Sons, 2018.

See Also

nonlinearityTest, keenanTest, tsayTest, thresholdTest