# How to do Univariate Heteroscedasticity Test

I just wanted to know how to do Heteroscedasticity Test on a Univariate Model?

• ex: an univariate autoregressive model
• ex: an univariate ARCH/GARCH model

If it is possible, how does one do that in R?

• This may help. stats.stackexchange.com/questions/56538/… – vinux Oct 14 '13 at 15:36
• @vinux The tests you recommend all require an error process that is free of pulses/level shifts/seasonal pulses/local time trends and has time invariant parameters and no points in time where the error varince changes deterministically. – IrishStat Oct 14 '13 at 17:02
• I agree with you @IrishStat. But, usually financial time series are free from mean level pulses or the volatility part is dominated than conditional expectation. Anyway I was trying to give an option for the tests in R. – vinux Oct 14 '13 at 18:30
• @vinux just out of curiosity, how do you know that i was referring to financial time series on this question instead of other field of science, does ARCH/GARCH and ARIMA model only exist on financial studies? – Firhat Nawfan H. Oct 14 '13 at 18:56
• @FirhatNawfanH. Yes. Usually ARCH/GARCH mainly used in financial time series. – vinux Oct 15 '13 at 2:42