www.gusucode.com > econ 案例源码程序 matlab代码 > econ/TestATimeSeriesForAutocorrelationAndARCHEffectsExample.m
%% Test a Time Series for Autocorrelation and ARCH Effects %% % Load the Deutschmark/British pound foreign-exchange rate data set. % Copyright 2015 The MathWorks, Inc. load Data_MarkPound %% % Convert the prices to returns. returns = price2ret(Data); %% % Compute the deviations of the return series. res = returns - mean(returns); %% % Test the hypothesis that the residual series is not autocorrelated, using the % default number of lags. h1 = lbqtest(res) %% % |h1 = 0| indicates that there is not enough evidence to reject the null hypothesis that the % residuals of the returns are not autocorrelated. %% % Test the hypothesis that there are significant ARCH effects, using the default number of lags [3]. h2 = lbqtest(res.^2) %% % |h2 = 1| indicates that there are signifcant ARCH effects in the % residuals of the returns. %% % Test for residual heteroscedasticity using |archtest| and the default number of lags. h3 = archtest(res) %% % |h3 = 1| indicates that the null hypothesis of no residual % heteroscedasticity should be rejected in favor of an ARCH(1) model. This % result is consistent with |h2|.