statsmodels.stats.diagnostic.het_arch

statsmodels.stats.diagnostic.het_arch(resid, nlags=None, store=False, ddof=0)[source]

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

Parameters:

  • resid (ndarray) – residuals from an estimation, or time series

  • nlags (int, default None) – Highest lag to use.

  • store (bool, default False) – If true then the intermediate results are also returned

  • ddof (int, default 0) – 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).

Returns:

  • lm (float) – Lagrange multiplier test statistic

  • lmpval (float) – p-value for Lagrange multiplier test

  • fval (float) – fstatistic for F test, alternative version of the same test based on F test for the parameter restriction

  • fpval (float) – pvalue for F test

  • res_store (ResultsStore, optional) – Intermediate results. Returned if store is True.

Notes

verified against R:FinTS::ArchTest