ARCH: MATLAB function to compute ARCH test
This MATLAB function computes a standard LM test for autoregressive conditional heteroskedasticity (ARCH) for one or more lag lengths. It returns one or more test statistics and associated p-values. Various utility routines from Jim LeSage's Econometrics Toolbox (q.v.) are required. Also see Kanzler's ARCHTEST on this archive.
|Requires:||MATLAB Release 5|
|Date of creation:||15 Jun 1999|
|Date of revision:|
|Contact details of provider:|| Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA|
Web page: http://fmwww.bc.edu/EC/
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