Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the \(R^2\) value of an autoregressive model of order lags
applied
to \(x^2\).
Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the \(R^2\) value of an autoregressive model of order lags
applied
to \(x^2\).