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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
  1. 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