statsmodels.stats.diagnostic.het_arch¶
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statsmodels.stats.diagnostic.
het_arch
(resid, nlags=None, autolag=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. The behavior of this parameter will change after 0.12.
autolag : {str, None}, default None
If None, then a fixed number of lags given by maxlag is used. This parameter is deprecated and will be removed after 0.12. Searching for model specification cannot control test size.
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