statsmodels.stats.diagnostic.het_arch

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