statsmodels.stats.diagnostic.het_arch

statsmodels.stats.diagnostic.het_arch(resid, maxlag=None, autolag=None, store=False, regresults=False, ddof=0)

Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH).

Parameters

residndarray

residuals from an estimation, or time series

maxlagint

highest lag to use

autolagNone or str

If None, then a fixed number of lags given by maxlag is used.

storebool

If true then the intermediate results are also returned

ddofint

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+q for an ARMA(p,q) (need reference, based on discussion on R finance mailinglist)

Returns

lmfloat

Lagrange multiplier test statistic

lmpvalfloat

p-value for Lagrange multiplier test

fvalfloat

fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

fpvalfloat

pvalue for F test

resstoreinstance (optional)

a class instance that holds intermediate results. Only returned if store=True

Notes

verified against R:FinTS::ArchTest