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Table 7 Result of ARCH-LM test for residuals

From: The volatility of returns from commodity futures: evidence from India

  Potato Mentha oil Crude oil Gold
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Far
Obs R-squared 0.604 0.046 0.010 4.45
8
30.52
2
0.037 78.95
5
64.85
4
0.099 48.72
8
26.39
4
142.6
915
Prob. Chi-Square 0.437 0.831 0.919 0.03
5
0.000 0.847 0.000 0.000 0.752 0.000 0.000 0.000
  1. Note: ARCH- LM Statistic (at lag-1) is the Lagrange Multiplier test statistic to examine the presence of ARCH effect in the residuals of the estimated model. If the value of ARCH LM Statistic is greater than the critical value from the Chi-square distribution, the null hypothesis of no heteroskedasticity is rejected