A New Test for ARCH Effects and its Finite-Sample Performance
ARCH 效应的新检验及其有限样本表现
We propose a test for autoregressive conditional heteroscedasticity based on a weighted sum of the squared sample autocorrelations of squared residuals from a regression, typically with greater weight given to lower-order lags. The tests of Engle, Box and Pierce, and Ljung and Box are equivalent to the test with equal weighting. Our test does not require formulation of an alternative and permits choice of the lag number via data-driven methods. Simulation studies show that…