Kipimo cha ARCH-LM kwa Makundi ya Kutikisika
Kipimo cha ARCH-LM ni kipimo cha Robert Engle (1982) cha Lagrange multiplier cha kutathmini uheteroskedastisiti inayodhibitiwa kwa wakati (autoregressive conditional heteroscedasticity) katika mabaki ya modeli ya mfululizo wa wakati iliyokamilika. Kinachunguza kama utofauti wa kosa unabadilika kwa wakati na kuunda makundi ya vipindi tulivu na vya machafuko, na ni kipimo cha awali kinachofanywa kabla ya kukamilisha modeli ya kutikisika ya familia ya GARCH.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- 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 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Engle's ARCH Lagrange Multiplier Test for Volatility Clustering. ScholarGate. https://scholargate.app/sw/econometrics/arch-lm-test
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Kipimo cha Breusch-Pagan cha Usumbufu wa Kigezo (Heteroskedasticity)Ekonometriki↔ compare
- Exponential GARCH (EGARCH)Ekonometriki↔ compare
- Umuundo wa Kujirudia kwa Kujitegemea wenye Masharti ya Ugomvi (GARCH)Ekonometriki↔ compare
- GJR-GARCH (GARCH Asymmetric)Ekonometriki↔ compare
- Urejeshaji wa Njia ya Viwango Vidogo vya Kawaida (OLS)Ekonometriki↔ compare
- Jaribio la White la HeteroskedasticityEkonometriki↔ compare
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