ARCHtest
ARCHtest, short for Autoregressive Conditional Heteroskedasticity test, is a statistical procedure used to detect whether a time series exhibits autoregressive conditional heteroskedasticity, i.e., time-varying volatility that depends on past shocks. The test was introduced by Robert F. Engle in 1982 as a means to identify ARCH effects, which are central to modeling volatility in financial and economic data.
The typical procedure starts with a mean model fit to the series and the extraction of residuals.
Choosing the lag length p is important and may be guided by prior knowledge, information criteria, or
Limitations include sensitivity to the specified mean model, potential distortions from non-stationarity or structural breaks, and