Engle’s Test for Autoregressive Conditional Heteroscedasticity (ARCH)
Parameters: | resid : ndarray, (nobs,)
maxlag : int
autolag : None or string
store : bool
ddof : int
|
---|---|
Returns: | lm : float
lmpval : float
fval : float
fpval : float
resstore : instance (optional)
|
Notes
verified agains R:FinTS::ArchTest