MVARCHTEST—multivariate test for GARCH effects

[TomDoan]

@MVARCHTEST is a procedure for testing a set of series for multivariate ARCH effects. The null is that the series are mean zero, not serially correlated and with a fixed covariance matrix. It performs an LM by regressing the crossproducts of the series (that is u(i,t) x u(j,t) for all combinations of i and j) on a constant and its lag(s) and testing the coefficients on the lags. The number of degrees of freedom is

(n(n+1)/2)^2 x the number of lags

since it is including all crossproducts on all crossproducts.

Detailed description