arch.univariate.base.ARCHModelResult.arch_lm_test¶

ARCHModelResult.arch_lm_test(lags: int | None = None, standardized: bool = False) → WaldTestStatistic¶

ARCH LM test for conditional heteroskedasticity

Parameters:¶

lags: int | None = None¶

Number of lags to include in the model. If not specified,

standardized: bool = False¶

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