arch.univariate.base.ARCHModelResult.arch_lm_test

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

ARCH LM test for conditional heteroskedasticity

Parameters
lagsint, optional

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

standardizedbool, optional

Flag indicating to test the model residuals divided by their conditional standard deviations. If False, directly tests the estimated residuals.

Returns
resultWaldTestStatistic

Result of ARCH-LM test

Return type

WaldTestStatistic