SmARCHTest

Assembly: Stat;

Description

The SmARCHTest class is used to work with parameters of the ARCH test for heteroscedasticity.

Comments

The test returns the value of the Fisher statistics and the Engle statistics.

Properties inherited from ISmARCHTest

  Property name Brief description
ARMA

The ARMA property returns autoregression and moving average parameters.
AutoRegressionOrder

The AutoRegressionOrder property determines lag.
Explained

The Explained property returns the explained series.
Explanatories

The Explanatories property returns explanatory series.
Fitted

The Fitted property returns a modeling series of auxiliary regression.
FStatistic

The FStatistics property returns Fisher statistics value.
MissingData

The MissingData property returns the method of missing data treatment.
ModelCoefficients

The ModelCoefficients property returns estimations of auxiliary regression coefficients and their characteristics.
ModelPeriod

The ModelPeriod property returns sample period parameters.
ObsR2

The ObsR2 property returns Engle statistics value.
Residuals

The Residuals property returns a residual series of auxiliary regression.
SummaryStatistics

The SummaryStatistics property returns descriptive characteristics of auxiliary regression.

Properties inherited from IStatMethod

  Property name Brief description
DisplayName The DisplayName property returns the displayed method name.
ErrorByStatus The ErrorByStatus property returns an error message by the error number.
Errors The Errors property returns a message with all the errors and warnings.
Name The Name property returns the internal method name.
PerformanceTime The PerformanceTime property returns method execution time.
Status The Status property returns the method execution status.
SupportsR The SupportsR property returns whether statistical method can be calculated via R package.
UseR The UseR property determines whether statistical method is calculated via the R package.
WarningByStatus The WarningByStatus property returns a warning text by its number.
Warnings The Warnings property returns the warnings that occurred on method calculation.
WarningsCount The WarningsCount property returns the number of warnings that occurred on method calculation.
WarningsNumbers The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

Methods inherited from IStatMethod

  Method Name Brief description
Clone The Clone method clones a statistical method object.
Execute The Execute method executes a statistical method.
LoadFromXML The LoadFromXML method loads statistical method settings from XML code.
SaveToXML The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Classes