Forecasting of Global Market Prices of Major Financial Instruments

Table 8

Box-Ljung test for GARCH models.

Variable	Model	χ^2	value
AD	GARCH (1,1)	2034	<0.001
C	GARCH (1,1)	2942.5	<0.001
CL	GARCH (1,2)	2814.2	<0.001
ES	GARCH (1,2)	2664.8	<0.001
FC	GARCH (1,1)	3801.4	<0.001
GC	GARCH (3,4)	2723.7	<0.001
KC	GARCH (1,1)	2936.2	<0.001
US	GARCH (1,1)	2936.2	<0.001