ARCH test for univariate time series
Perform tests to check the conditional heteroscedasticity in a time series. The Ljung-Box statistics of squared series and a rank-based Ljung-Box test are used.
archTest(rt, lag = 10)
rt |
A scalar time series. If rt is a matrix, only the first column is used. |
lag |
The number of lags of ACF used in the Ljung-Box statistics. The default is 10. |
The Ljung-Box statistics based on the squared series are computed first. The rank series of the squared time series is than used to test the conditional heteroscedasticity.
The Q-statistic and its p-value. Also, the rank-based Q statistic and its p-value.
Ruey Tsay
MarchTest
rt=rnorm(200) archTest(rt)
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