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 \(x^2\).
Usage
arch_stat(x, lags =12, demean =TRUE)
Arguments
x
a univariate time series
lags
Number of lags to use in the test
demean
Should data have mean removed before test applied?