Economics Research International

Research Article

Long Memory Process in Asset Returns with Multivariate GARCH Innovations

Table 1

Basic properties of the distribution of returns series.




0.586	0.502	0.521
0.545	0.508	0.516
2.065	2.882	2.705
9.651	21.082	18.431
5.305e + 003	3.117e + 004	2.314e + 004
(0.000)	(0.000)	(0.000)
313.787	166.785	141.769
(0.000)	(0.000)	(0.000)
220.788	52.357	57.845
(0.000)	(0.000)	(0.000)
931.965	—	—
(0.000)	—	—
526.008	—	—
(0.000)	—	—

Notes: denotes the sample mean, is standard deviation, is the Kurtosis (exc), size is the skewness coefficient, is the Jarque-Bera normality test, and are, respectively, the 12th order Ljung-Box tests for serial correlation in the residuals and squared residuals. and are multivariate Ljung-Box version. The number in parenthese is the P-values.