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ARCH: MATLAB function to compute ARCH test

Author

Listed:
  • Christopher F. Baum

    (Boston College)

Programming Language

MATLAB

Abstract

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
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/arch.m
    File Function: program file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/a/arch_d.m
    File Function: demo file
    Download Restriction: no
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    More about this item

    Keywords

    MATLAB;

    Statistics

    Access and download statistics

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