Table 3 Standardized residual test of GARCH (1, 1)
Residual test | Variable | Test statistic | Test value | Probability |
|---|---|---|---|---|
Jarque–Bera | R | \(\chi^{2}\) | 152.9664 | 0 |
Shapiro–Wilk | R | W | 0.8465621 | 5.965E−12 |
Ljung–Box | R | \(Q(10)\) | 23.50554 | 0.009026764 |
Ljung–Box | R | \(Q(15)\) | 27.92452 | 0.022046764 |
Ljung–Box | R | \(Q(20)\) | 31.84835 | 0.0449413 |
Ljung–Box | R | \(Q(10)\) | 5.126632 | 0.8825598 |
Ljung–Box | R | \(Q(15)\) | 9.760762 | 0.8345127 |
Ljung–Box | R | \(Q(20)\) | 11.83056 | 0.9217843 |
LM Arch | R | \(TR^{2}\) | 4.663342 | 0.9682894 |