10. ARCH test

The exercise was created 2024-03-14 by Makizon. Question count: 7.

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  • vad ska du göra först? installera FinTS
  • vad ska du göra ARCH test på? ARIMA som var bäst från ARIMA-modellen
  • H0 there are no ARCH effects, p-value > 5%
  • H1 there are ARCH effects, p-value < 5%
  • vad betyder det om det inte finns ARCH effects model is homoscedastic
  • gör ARCH test på ARIMA010 FinTS::ArchTest(ARIMA010$residuals)
  • gör ARCH test på ARIMA111 FinTS::ArchTest(ARIMA111$residuals)

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