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Is there a specific way in which i should be setting the Lag lenth for testing for Arch effects, Specifically the LM Stat?

Hi, apologies I should have been more specific.
It is to do a white test, for homoskedasticity before doing a GARCH model,
I am not sure how to find the degrees of freedom for the LM Stat to use with a table

I am aware that I can do this in eviews, but i wanted to check how do i actually decide the degrees of freedom when doing a chi square test. i have a very simply mean equation of Returns = Constant + Residuals of conditional mean The variance equation is more complex and I have 6158 observations, So...

Thanks again for replying, this sounds about right, Ill give it a go tomorrow and reply in the forum! But this sounds like it should work,

Richard

Hi Glenn, Thanks for getting back, In the variance term for Brazil(and the other countries involved) I wanted to add a lag of the squared residuals of the conditional mean of the world index to measure the impact of the previous day's foreign news on the Brazilian Index. How would I add this into th...

Hi, I have not used Eviews before and do not have much experience of econometrics packages in general so i hope someone can help me as I am going mad trying to work out what to do here....and Im sure it will be simple enough! I am trying to estimate a GJR-GARCH model in Eviews 7 for Brazil which is ...

Also, It is Eviews version 7

Hi, I have not used Eviews before and do not have much experience of econometrics packages in general so i hope someone can help me as I am going mad trying to work out what to do here....and Im sure it will be simple enough! I am trying to estimate a GJR-GARCH model in Eviews for Brazil which is as...