Ljung-Box Q-statistics

Ljung-Box Q-statistics

ARCH LM

NML TEST

Q(10)

Q²(10)

F

JB

GARCH

12.568

(0.248)

7.532

(0.480)

0.732

(0.693)

21.916

(0.000)

IGARCH

12.419

(0.257)

7.788

(0.454)

0.766

(0.660)

22.597

(0.000)

EGARCH

12.890

(0.229)

7.564

(0.477)

0.787

(0.646)

28.076

(0.000)