ARCH LM Statistic

Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for autoregressive conditional heteroscedasticity (ARCH). The statistic returned is the \(R^2\) value of an autoregressive model of order lags applied to \(x^2\).

stat_arch_lm(x, lags = 12, demean = TRUE)

Arguments

x

a univariate time series

lags

Number of lags to use in the test

demean

Should data have mean removed before test applied?

Value

A numeric value.

Author

Yanfei Kang