Table 8: BDS Statistics and probability estimates for TGARCH and EGARCH models.

S&PDAXFTSE 100NIKKEI 225BOND FUNDCDS1CDS2CDS3

TGARCH
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

EGARCH
𝜖 / 𝜎 0.70.70.70.70.7111
𝑚 = 2 0.7269−0.25711.31730.10391.11040.58055.6316*12.2350*
 Prob0.46730.79710.18770.91730.26680.51920.00000.0000
𝑚 = 3 1.10560.13030.7917−0.01811.04960.81956.3627*12.3810*
 Prob0.26890.89630.42850.98560.29390.38000.00000.0000
𝑚 = 4 0.55580.04220.45450.17170.38110.32676.1578*13.0050*
 Prob0.57830.96630.64950.86370.70310.67360.00000.0000
𝑚 = 5 0.24900.03480.67450.37480.6792−0.22416.4323*14.6020*
 Prob0.80340.97220.50000.70780.49700.91360.00000.0000