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|.