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ARCH: MATLAB function to compute ARCH test


  • Christopher F. Baum

    () (Boston College)


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.

Suggested Citation

  • Christopher F. Baum, 1999. "ARCH: MATLAB function to compute ARCH test," Statistical Software Components T961402, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:t961402

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