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