ARCH Test

Read through the articles related to a group of statistical tests of the presence of time-varying conditional volatility -aka., autoregressive conditional heteroscedasticity (ARCH effect) – in the time series.

NumXL 1.67 MARTHA public availability

ARCH Test Explained

In this week’s issue of Tips & Tricks, we use the NumXL package to explain a common – and commonly misunderstood – diagnostic in econometric and time series analysis: the Auto Regressive Conditional Heteroskedacity test, or ARCH test for short.

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