Dear Listers,

I'm looking for a function in R, more specifically Rmetrics that is similar
to archTest in S-Plus, i.e. a function to computer the Lagrange Multiplier
test for ARCH effect. This functionality has been incorporated in the
garchFit function, but I couldn't find the implementation(the source) or the
specific function call for the test.

If I fit a timeSeries with garchFit, and then do a summary of the fit, a LM
Arch Test on the residuals is displayed. I want to conduct the test on the
original timeSeries.

# Begin R Output#
> summary(ewk.fit)

Title:
 GARCH Modelling

Call:
 garchFit(formula = seriesData(ewk.ret) ~ garch(1, 1), data = ewk.ret,
    leverage = TRUE, trace = FALSE)

Mean and Variance Equation:
 ~arma(0, 0) + ~garch(1, 1)

[More diagnostic info]

Standadized Residuals Tests:
                                Statistic p-Value
 Jarque-Bera Test   R    Chi^2  17.95285  0.0001263537

[More Test Results]

 LM Arch Test       R    TR^2   11.74260  0.4665672

# End R Output #

Some session info of my R environment can be found below.

Cheers,
Weimin

> sessionInfo()
R version 2.6.0 (2007-10-03)
i486-pc-linux-gnu

locale:
LC_CTYPE=en_AU.UTF-8;LC_NUMERIC=C;LC_TIME=en_AU.UTF-8;LC_COLLATE=en_AU.UTF-8;LC_MONETARY=en_AU.UTF-8;LC_MESSAGES=en_AU.UTF-8;LC_PAPER=en_AU.UTF-8;LC_NAME=C;LC_ADDRESS=C;LC_TELEPHONE=C;LC_MEASUREMENT=en_AU.UTF-8;LC_IDENTIFICATION=C

attached base packages:
[1] tcltk     stats     graphics  grDevices utils     datasets  methods
[8] base

other attached packages:
 [1] fGarch_260.72     fArma_260.72      fBasics_260.72    fImport_260.72
 [5] fSeries_260.72    fCalendar_260.72  fEcofin_260.72    fUtilities_260.72
 [9] zoo_1.4-0         spatial_7.2-36    RUnit_0.4.17      MASS_7.2-36
[13] robustbase_0.2-8

loaded via a namespace (and not attached):
[1] grid_2.6.0     lattice_0.17-1

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