statsmodels.stats.diagnostic.het_arch
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statsmodels.stats.diagnostic.het_arch(resid, maxlag=None, autolag=None, store=False, regresults=False, ddof=0)
[source]
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Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH)
Parameters: |
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resid (ndarray) – residuals from an estimation, or time series
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maxlag (int) – highest lag to use
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autolag (None or string) – If None, then a fixed number of lags given by maxlag is used.
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store (bool) – If true then the intermediate results are also returned
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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)
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Returns: |
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lm (float) – Lagrange multiplier test statistic
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lmpval (float) – p-value for Lagrange multiplier test
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fval (float) – fstatistic for F test, alternative version of the same test based on F test for the parameter restriction
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fpval (float) – pvalue for F test
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resstore (instance (optional)) – a class instance that holds intermediate results. Only returned if store=True
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Notes
verified agains R:FinTS::ArchTest