[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.
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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
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