Diagnostic test results supporting the use of GARCH(1,1)
| Test | Test specification | t-statistic | P-value | Conclusion |
|---|---|---|---|---|
| Augmented Dickey-Fuller (ADF) | Intercept | −76.16941 | 0.0001*** | Stationary (reject null hypothesis of unit root) |
| Trend and Intercept | −76.16396 | 0.0001*** | ||
| None | −76.14489 | 0.0001*** | ||
| ARCH LM test | Lag = 1 | 10.51426 | 0.0012*** | Significant ARCH effect detected |
| GARCH(1,1) stationarity check | ω = 0.011379 | – | – | Covariance stationary (α+β < 1) |
| α = 0.072737 | ||||
| β = 0.808777 |
| Test | Test specification | Conclusion | ||
|---|---|---|---|---|
| Augmented Dickey-Fuller (ADF) | Intercept | −76.16941 | 0.0001*** | Stationary (reject null hypothesis of unit root) |
| Trend and Intercept | −76.16396 | 0.0001*** | ||
| None | −76.14489 | 0.0001*** | ||
| ARCH LM test | Lag = 1 | 10.51426 | 0.0012*** | Significant ARCH effect detected |
| GARCH(1,1) stationarity check | ω = 0.011379 | – | – | Covariance stationary (α+β < 1) |
| α = 0.072737 | ||||
| β = 0.808777 |
Note(s): *, ** and *** imply significance at the 10, 5 and 1 percent levels
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