Computes a statistic based on the Lagrange Multiplier (LM) test of Engle (1982) for
autoregressive conditional heteroscedasticity (ARCH). The statistic returned is
the \(R^2\) value of an autoregressive model of order `lags`

applied
to \(x^2\).

arch_stat(x, lags = 12, demean = TRUE)

x | a univariate time series |
---|---|

lags | Number of lags to use in the test |

demean | Should data have mean removed before test applied? |

A numeric value.

Yanfei Kang