Table III: (G)ARCH estimation and diagnostic results
Exports |
Imports | |||||||||
∆e |
kt |
GARCH(1,1) |
ξkt |
∆e |
kt |
GARCH(1,1) |
ξkt | |||
A1 |
A5 |
δki |
βk1 |
A1 |
A1 |
A5 |
δki |
-------TT------------ βk1 |
A1 | |
AT- |
0.28 |
0.41 |
0.13* |
0.83* (8.11) |
0.99 |
0.41 |
0.52 |
0.12* |
0.84* |
0.95 |
BE |
0.28 |
0.27 |
0.16* (1.87) |
0.47 (1.52) |
0.47 | |||||
CA |
0.50 |
0.76 |
0.05 (0.74) |
0.53 (1.06) |
0.85 |
0.59 |
0.89 |
0.05 (0.66) |
- |
0.86 |
FI |
0.00* |
0.01* |
0.12* (1.71) |
0.79* |
0.63 |
0.00* |
0.02* |
0.13* (1.80) |
0.78* |
0.64 |
FR |
0.09 |
0.31 |
0.11 (1.16) |
0.86 |
0.20 |
0.56 |
0.10 (1.08) |
0.95 | ||
GE |
0.37 |
0.69 |
0.11 (1.38) |
0.71 |
0.36 |
0.47 |
0.10 (1.20) |
0.76 | ||
GC |
0.00* |
0.00* |
0.18* (2.66) |
0.82* (11.56) |
0.09 |
0.00* |
0.00* |
0.19* (2.76) |
0.81* (11.26) |
0.12 |
IT |
0.00* |
0.00* |
0.15 (1.61) |
0.79* (5.33) |
0.85 |
0.00* |
0.00* |
0.15* (1.67) |
0.79* (5.43) |
0.93 |
IR |
0.15 |
0.03* |
0.04 (0.86) |
0.70* (2.21) |
0.65 |
0.01* |
0.11 |
0.11* |
0.58* |
0.86 |
JP |
0.45 |
0.44 |
0.05 (0.77) |
0.71* (1.77) |
0.94 |
0.58 |
0.46 |
0.05 (0.71) |
0.71* (1.68) |
0.87 |
NL |
0.01* |
0.22 |
0.13 (1.31) |
0.63 |
0.02* |
0.15 |
0.10 (1.09) |
0.28 (0.47) |
0.71 | |
NO |
0.33 |
0.07 |
0.15* (2.28) |
0.74* (6.17) |
0.50 |
0.23 |
0.07 |
0.19* (2.44) |
0.72* (6.10) |
0.52 |
SW |
0.01* |
0.00* |
0.06 (1.61) |
0.91* (18.34) |
0.65 |
0.02* |
0.02 |
0.05 (1.17) |
0.92* (14.29) |
0.64 |
UK |
0.01* |
0.16 |
0.11* |
0.71* (4.40) |
0.64 |
0.01* |
0.13 |
0.10 (1.57) |
0.70* (4.09) |
0.56 |
US |
0.68 |
0.65 |
0.043 |
0.76 (1.64) |
0.60 |
0.69 |
0.56 |
0.05 (1.12) |
0.82* (3.10) |
0.51 |
Notes: p-values obtained from ARCH LM-tests of orders 1 and 5 (A1, A5) for ∆etk and LM-
tests on remaining ARCH effects in ξkt (A1). Parameter estimates (t-ratios in parentheses)
for the GARCH(1,1) or, if indicated, for ARCH(1) processes. A star indicates significance
at the 5% level. Owing to parameter restrictions we use one sided tests for the (G)ARCH-
parameters. All t-ratios are obtained from Quasi Maximum Likelihood estimation.39
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