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Testing for ARCH effects

Sandu Ursu
Posted 11 years ago
Hi,

How does one test for ARCH effects in Mathematica?

I have tried the LMStatistic[] function as presented here: http://media.wolfram.com/documents/TimeSeriesDocumentation.pdf, but the documentation appears to be from 2007, and I'm not sure it is still available in Mathematica.
 
Thank you.
POSTED BY: Sandu Ursu
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If you are a target of Premier Support, you are allowed to fill your data into the Time Series License Request

http://www.wolfram.com/services/premiersupport/time-series.cgi

possibly you find elsewhere, in the Mathematica Demonstrations e.g., a starting point.
POSTED BY: Udo Krause
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