stats.diagnostic.het_arch()

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:

resid : ndarray, (nobs,) residuals from an estimation, or time series maxlag : int highest lag to use autolag : None or string If None, then a fixed number of lags given by maxlag is used. store : bool If true then the intermediate results are also returned ddof : int 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+a for an ARMA(p,q) (need reference, based on discussion on R finance mailinglist)

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 resstore : instance (optional) a class instance that holds intermediate results. Only returned if store=True

Notes

verified agains R:FinTS::ArchTest