What Is an Appropriate Approach to Testing for 'ARCH Effects

question 5

Multiple Choice

What is an appropriate approach to testing for 'ARCH effects'?

• A) Run a regression, collect the residuals, regress the squared residuals on their lags and conduct a hypothesis test to check whether the coefficients of the lagged squared residuals are equal to zero
• B) Run a regression, collect the fitted values, regress the fitted values on their squared lags and conduct a hypothesis test to check whether the coefficients of the lagged squared fitted values are equal to zero
• C) Employ White's test
• D) All of the above

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