Journal of Probability and Statistics / 2020 / Article / Tab 7

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 7

LM test for autoregressive conditional heteroscedasticity.

VariableModelLM-ARCH value

ADGARCH (1,1)8.5099650.7441175
CGARCH (1,1)62.78456<0.001
CLGARCH (1,2)12.720920.3896475
ESGARCH (1,2)53.91283<0.001
FCGARCH (1,1)50.21859<0.001
GCGARCH (3,4)15.03660.2394412
KCGARCH (1,1)17.254440.140274
USGARCH (1,1)13.537440.3312158

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