Table 3 Diagnostic tests Estimate t... | Emerald Publishing

Table 3

Diagnostic tests

	Estimate	t-value
Ω	0.011	3.783^***
α (1)	0.154	5.796^***
β (1)	0.805	23.892^***
Information criterion stats
AIC	1.124
BIC	1.133
SIC	1.124
HQIC	1.128
Log-likelihood	−1106.876

Standardised residuals tests
	Statistic	p-value
Ljung-Box test (Q10)	9.988	0.442
Ljung-Box test (Q15)	16.888	0.326
Ljung-Box test (Q10)-squared	9.159	0.517
Ljung-Box test (Q15)-squared	16.336	0.360
LM arch test	9.884	0.626

Standardised residuals tests
	Statistic	p-value
Ljung-Box test (Q10)	9.988	0.442
Ljung-Box test (Q15)	16.888	0.326
Ljung-Box test (Q10)-squared	9.159	0.517
Ljung-Box test (Q15)-squared	16.336	0.360
LM arch test	9.884	0.626

Note(s): This table exhibits diagnostic test of GARCH (1,1). The coefficients in the variance equation are listed, Ω, α (1) and β (1). ^*** Statistically sig at 1%