ARCH Effect - Lagrange multiplier (ARCHLM)

0

The current implementation of ARCHTest uses the Ljung-Box method on the squared (mean-adjusted) time series.

Sometime, I would like to compare the test result against LM test. Can NumXL support this test as well.

Commentaires

0 commentaire

Vous devez vous connecter pour laisser un commentaire.

Ce n’est pas ce que vous cherchez ?

Nouvelle publication