Table 2: Analysis of the residuals
|
ARCH(2) |
ARCH (4) |
LB(4) |
LB(8) | ||
|
mode 1 |
∆4e2t |
16.7** |
16.4** |
8.7 |
12.1 |
|
∆4e3t |
17.4** |
17.8** |
3.7 |
5.8 | |
|
mode 2 |
∆4e2t |
10.1** |
16** |
9.3 |
10.5 |
|
∆4e3t |
15.4** |
25.8** |
5.9 |
9 | |
Note: *Denotes significance at the 5% level. **Denotes significance at the 1% level.
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20
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