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: 1998-05-14

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

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:t871802

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics
Address: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Contact information at EDIRC.
Series data maintained by Christopher F Baum ().