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ARCH-LM Test/Evidence
Method evidence record

ARCH-LM Test

The ARCH-LM test is Robert Engle's (1982) Lagrange multiplier diagnostic for autoregressive conditional heteroscedasticity in the residuals of a fitted time-series model. It checks whether the error variance changes over time and clusters into calm and turbulent periods, and it is the standard pre-test run before fitting a GARCH-family volatility model.

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Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Engle's ARCH Lagrange Multiplier Test for Volatility Clustering
Taxonomic method record · regression-model / econometrics
  • Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007. · DOI 10.2307/1912773
  • Lee, J. H. H. (1991). A Lagrange Multiplier Test for GARCH Models. Economics Letters, 37(3), 265-271. · DOI 10.1016/0165-1765(91)90221-6
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Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyBreusch-Pagan Testmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyGJR-GARCHmachine-suggested · Relational suggestion, not evidence.Same method familyOLS Regressionmachine-suggested · Relational suggestion, not evidence.Same method familyWhite Testmachine-suggested · Relational suggestion, not evidence.

Evidence status

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

Sources

2 recorded citations, copied from the method source record.

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