Engle's AutoRegressive Conditional Heteroskedasticity (ARCH) estimator

arch_test.R

arch_test <- function (x, order=10){
    # AutoRegressive Conditional Heteroskedasticity (ARCH) estimator 
    xsq <- x^2 
    nobs <- length(x) 
    inds <- outer(0:(nobs - order - 1), order:1, "+") 
    xmat <- xsq[inds] 
    dim(xmat) <- dim(inds) 
    xreg <- lm(xsq[-1:-order] ~ xmat) 
    summary(xreg)$r.squared * (nobs - order) 
}