Table 1 Diagnostic test results... | Emerald Publishing

Table 1

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	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

Note(s): *, ** and *** imply significance at the 10, 5 and 1 percent levels

Source(s): Authors’ own work