Table 7: BDS Statistics and probability estimates for AR GARCH and GARCH-M models.

S&PDAXFTSE 100NIKKEI 225BOND FUNDCDS1CDS2CDS3

AR GARCH
𝜖 / 𝜎 0.70.70.70.70.7111
𝑚 = 2 1.2476−0.57040.95010.24891.63611.81384.9689*8.0637*
 Prob0.21220.56840.34200.80350.10180.07200.00000.0000
𝑚 = 3 1.5542−0.27260.27480.10591.43081.65855.9770*6.9778*
 Prob0.12010.78510.78350.91560.15250.10400.00000.0000
𝑚 = 4 0.7833−0.4173−0.01210.24250.74691.52636.6407*6.9016*
 Prob0.43350.67650.99030.80840.45510.14080.00000.0000
𝑚 = 5 0.4714−0.46320.18070.39591.08041.40797.1463*7.2283*
 Prob0.63740.64320.85660.69220.28000.17360.00000.0000

GARCH-M
𝜖 / 𝜎 0.70.70.70.70.7111
𝑚 = 2 0.5820−0.54971.17610.28221.56080.86944.8089*9.2551*
 Prob0.56060.58260.23950.77780.11860.37600.00000.0000
𝑚 = 3 1.0135−0.12580.60620.16931.30821.44965.3619*8.1994*
 Prob0.31080.89990.54440.86550.19080.17680.00000.0000
𝑚 = 4 0.4627−0.19950.30170.31630.62401.45035.9207*7.8838*
 Prob0.64360.84190.76290.75180.53260.16640.00000.0000
𝑚 = 5 0.1204−0.33680.57500.44510.90621.16616.5555*8.3414*
 Prob0.90420.73620.56530.65620.36480.24080.00000.0000