Financial Innovation

Table 4 Diagnostic Test (DCC-GARCH)

From: Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Autocorrelation test
Indonesia		Malaysia		Philippines		Thailand		Singapore		Gold		Oil
Q(19)	Q²(19)	Q(19)	Q²(19)	Q(19)	Q²(19)	Q(19)	Q²(19)	Q(19)	Q²(19)	Q(19)	Q²(19)	Q(19)	Q²(19)
17.41	8.25	10.42	16.54	11.63	13.65	18.35	15.47	27.08	16.83	18.15	5.03	17.26	10.76
(0.62)	(0.99)	(0.96)	(0.68)	(0.92)	(0.84)	(0.49)	(0.74)	(0.13)	(0.66)	(0.57)	(0.99)	(0.57)	(0.95)
Variance equation
c	0.00	c	0.00	c	0.00	c	0.00	c	0.00	c	0.00	c	0.00
	(0.01)		(0.10)		(0.05)		(0.05)		(0.05)		(0.12)		(0.07)
α	0.26	α	0.08	α	0.09	α	0.10	α	0.13	α	0.06	α	0.09
	(0.00)		(0.00)		(0.05)		(0.00)		(0.00)		(0.00)		(0.00)
b	0.71	b	0.90	b	0.87	b	0.88	b	0.85	b	0.91	b	0.88
	(0.00)		(0.00)		(0.00)		(0.00)		(0.00)		(0.00)		(0.00)
λ	0.97	λ	0.98	λ	0.96	λ	0.98	λ	0.98	λ	0.97	λ	0.97
Heteroscedasticity test
ARCH-LM (19) = 7.86		ARCH-LM (19) = 18.536		ARCH-LM (19) = 14.721		ARCH-LM (19) = 14.26		ARCH-LM (19) = 20.451		ARCH-LM (19) = 4.45		ARCH-LM (19) = 11.04

Notes: This table represents the Q-stats of correlogram and residual squared test for autocorrelation test. The ρ – values are in parentheses. The heteroscedasticity test (Obs*R-squared value) is ARCH-LM with 19 lags. α and b are the ARCH/GARCH effects and λ is the volatility persistence. The GARCH (1,1) is used

Back to article page