Generalized Autoregressive Conditional Heteroskedastic Model to Examine Silver Price Volatility and Its Macroeconomic Determinant in Ethiopia Market

Table 5

ARCH effect test using LM test for squared residuals of the fitted models for conditional mean.

	F-statistic	Chi-squared statistic	SBIC
ARCH (1)	12.31028 (0.000564)	11.67665 (0.000633)	−4.50069
ARCH (2)	6.083447 (0.002759)	11.60407 (0.003021)	−4.46758
ARCH (3)	4.228577 (0.006421)	12.12552 (0.006965)	−4.43852

Note: values in parentheses are values.