[Q, QSIG] = ARCHTEST (RESIDUALS, LAGS) tests the null hypothesis of no AutoRegressive Conditional Heteroskedasticity in time series RESIDUALS up to and including the lag order(s) specified by LAGS, returning Q, the small-sample corrected Q statistic(s) of Engle's ARCH test and QSIG, the level(s) of significance at which H0 is rejected.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number
T871802.
Size: Programming language: MATLAB Requires: MATLAB Statistics Toolbox and L. Kanzler's DFCRIT m-function. Date of creation: 14 May 1998 Date of revision: Handle: RePEc:boc:bocode:t871802
Contact details of provider: Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA Phone: 617-552-3670 Fax: +1-617-552-2308 Email: Web page: http://fmwww.bc.edu/EC/ More information through EDIRC