> #Test ARCH effect > Box.test(m2$residuals^2,lag=10,type='Ljung') Box-Ljung test data: m2$residuals^2 X-squared = 17.628, df = 10, p-value = 0.06156
Question
> #Test ARCH effect
> Box.test(m2$residuals^2,lag=10,type='Ljung')
Box-Ljung test
data: m2$residuals^2
X-squared = 17.628, df = 10, p-value = 0.06156
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Solution 1
The Box-Ljung test is a type of statistical test used to check if there is autocorrelation in a time series data. In this case, the test is applied to the squared residuals of a model (m2).
The output of the test provides three key pieces of information:
- X-squared: This is the test statistic. I Knowee AI StudyGPT is a powerful AI-powered study tool designed to help you to solve study prob
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