ARCH Effect Test in Excel

In this video, we demonstrate how to conduct an ARCH Effect Test in Microsoft Excel with the help of a newly released version of NumXL - 1.58 BAJA.

NumXL is an add-in for Excel that greatly simplifies different calculations used in time series analysis.

Video script

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Hello and welcome to the NumXL ARCH effects test tutorial. In this video will demonstrate how to run an ARCH effect test with the help of a simple user interface available with the version 1.58 of NumXL. We'll be using the daily log returns of the S&P 500 for this example.

The first step is to select an empty cell in your worksheet then click on the statistical testing button in the NumXL toolbar.

Click on the ARCH effect test icon, a function wizard pops up as soon as you do that.

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For input data select your sample values. You may choose a significance level for the test, but the default is five percent. Now the output defaults to your selected cell in the worksheet.

Once you select data the options and the missing values tabs become clickable.

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In the options tab you may pick what kind of lag order range to test for.

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And you can also choose what to do with intermediate missing values in your data in the last tab.

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You may now click OK, and there you go the arch effect tests results are in your worksheet.

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That is it for now, thank you for watching!

 

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