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Table 3 ARCH Test

From: Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries

Countries Constant AR(1) ARCH Test
Stock prices
China 0.016
(0.51)
0.002
(0.88)
87.423*
(0.00)
India 0.044
(0.07)
0.077*
(0.00)
148.116*
(0.00)
Hong Kong 0.021
(0.37)
−0.002
(0.85)
461.452*
(0.00)
Japan 0.005
(0.82)
−0.007
(0.65)
255.404*
(0.00)
Pakistan 0.0755*
(0.00)
0.111*
(0.00)
384.369*
(0.00)
Sri Lanka 0.046*
(0.00)
0.223*
(0.00)
354.024*
(0.00)
Exchange rates
China −0.009*
(0.00)
−0.165*
(0.00)
42.029*
(0.00)
India 0.009
(0.20)
4.19E-05
(0.99)
199.512*
(0.00)
Hong Kong 3.05E-05
(0.96)
−0.221*
(0.00)
1212.189*
(0.00)
Japan −0.001
(0.89)
0.084*
(0.00)
37.534*
(0.00)
Pakistan 0.025
(0.09)
−0.401*
(0.00)
378.305*
(0.00)
Sri Lanka 0.022**
(0.01)
−0.349*
(0.00)
497.900*
(0.00)
  1. Probabilities are shown in parenthesis
  2. ARCH test is the arch effect test
  3. * and ** indicates p < 1 % and 5 %