arch.univariate.base.ARCHModelResult.arch_lm_test

ARCHModelResult.arch_lm_test(lags=None, standardized=False)

ARCH LM test for conditional heteroskedasticity

Parameters
  • lags (int, optional) – Number of lags to include in the model. If not specified,

  • standardized (bool, optional) – Flag indicating to test the model residuals divided by their conditional standard deviations. If False, directly tests the estimated residuals.

Returns

result – Result of ARCH-LM test

Return type

WaldTestStatistic