Journal of Probability and Statistics / 2020 / Article / Tab 8

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 8

Box-Ljung test for GARCH models.

VariableModelχ2 value

ADGARCH (1,1)2034<0.001
CGARCH (1,1)2942.5<0.001
CLGARCH (1,2)2814.2<0.001
ESGARCH (1,2)2664.8<0.001
FCGARCH (1,1)3801.4<0.001
GCGARCH (3,4)2723.7<0.001
KCGARCH (1,1)2936.2<0.001
USGARCH (1,1)2936.2<0.001

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