ARCHTEST: MATLAB module to calculate test for autoregressive conditional heteroskedasticity

Ludwig Kanzler ()

Statistical Software Components from Boston College Department of Economics

Abstract: [Q, QSIG] = ARCHTEST (RESIDUALS, LAGS) tests the null hypothesis of no AutoRegressive Conditional Heteroskedasticity in time series RESIDUALS up to and including the lag order(s) specified by LAGS, returning Q, the small-sample corrected Q statistic(s) of Engle's ARCH test and QSIG, the level(s) of significance at which H0 is rejected.

Language: MATLAB
Requires: MATLAB Statistics Toolbox and L. Kanzler's DFCRIT m-function.
Date: Written

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http://fmwww.bc.edu/repec/bocode/a/archtest.m program code (text/plain)

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