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> #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

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:

  1. X-squared: This is the test statistic. I
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