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Engle test for residual heteroscedasticity
h = archtest(res) returns a logical value with the rejection decision from conducting the Engle's ARCH test for residual heteroscedasticity in the univariate residual series res.
h = archtest(res,Name,Value) uses additional options specified by one or more Name,Value pair arguments.
If any Name,Value pair argument is a vector, then all Name,Value pair arguments that you specify must be vectors of equal length or scalars. archtest(res,Name,Value) treats each element of a vector input as a separate test, and returns a vector of rejection decisions.
If any Name,Value pair argument is a row vector, then archtest(res,Name,Value) returns row vectors.
[1] Box, G. E. P., G.M. Jenkins, and G.C. Reinsel. Time Series Analysis: Forecasting and Control. 3rd ed. Englewood Cliffs, NJ: Prentice Hall, 1994.
[2] Engle, R. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation." Econometrica. Vol. 96, 1988, pp. 893–920.