Testing for Nonlinear Dependence in the Credit Default Swap Market

Table 7

BDS Statistics and probability estimates for AR GARCH and GARCH-M models.

	S&P	DAX	FTSE 100	NIKKEI 225	BOND FUND	CDS1	CDS2	CDS3
AR GARCH
𝜖/𝜎	0.7	0.7	0.7	0.7	0.7	1	1	1
𝑚=2	1.2476	−0.5704	0.9501	0.2489	1.6361	1.8138	4.9689*	8.0637*
Prob	0.2122	0.5684	0.3420	0.8035	0.1018	0.0720	0.0000	0.0000
𝑚=3	1.5542	−0.2726	0.2748	0.1059	1.4308	1.6585	5.9770*	6.9778*
Prob	0.1201	0.7851	0.7835	0.9156	0.1525	0.1040	0.0000	0.0000
𝑚=4	0.7833	−0.4173	−0.0121	0.2425	0.7469	1.5263	6.6407*	6.9016*
Prob	0.4335	0.6765	0.9903	0.8084	0.4551	0.1408	0.0000	0.0000
𝑚=5	0.4714	−0.4632	0.1807	0.3959	1.0804	1.4079	7.1463*	7.2283*
Prob	0.6374	0.6432	0.8566	0.6922	0.2800	0.1736	0.0000	0.0000
GARCH-M
𝜖/𝜎	0.7	0.7	0.7	0.7	0.7	1	1	1
𝑚=2	0.5820	−0.5497	1.1761	0.2822	1.5608	0.8694	4.8089*	9.2551*
Prob	0.5606	0.5826	0.2395	0.7778	0.1186	0.3760	0.0000	0.0000
𝑚=3	1.0135	−0.1258	0.6062	0.1693	1.3082	1.4496	5.3619*	8.1994*
Prob	0.3108	0.8999	0.5444	0.8655	0.1908	0.1768	0.0000	0.0000
𝑚=4	0.4627	−0.1995	0.3017	0.3163	0.6240	1.4503	5.9207*	7.8838*
Prob	0.6436	0.8419	0.7629	0.7518	0.5326	0.1664	0.0000	0.0000
𝑚=5	0.1204	−0.3368	0.5750	0.4451	0.9062	1.1661	6.5555*	8.3414*
Prob	0.9042	0.7362	0.5653	0.6562	0.3648	0.2408	0.0000	0.0000