Table 9.

ARCH LM test with null hypothesis of No ARCH with Lag=1

FJT				IMP				RYL
F-stat.	69.407	P. F(1,586)	0.000	F-stat.	38.530	P. F(1,586)	0.000	F-stat.	42.339	P. F(1,586)	0.000
Obs*R${}^2$	62.269	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	36.276	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	39.621	P. Chi${}^2$(1)	0.000

KYT				OL				SB
F-stat.	16.228	P. F(1,586)	0.000	F-stat.	16.663	P. F(1,586)	0.000	F-stat.	1.233	P. F(1,586)	0.267
Obs*R${}^2$	15.845	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	16.257	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	1.235	P. Chi${}^2$(1)	0.266

KRT				CHH				H
F-stat.	192.398	P. F(1,586)	0.000	F-stat.	7.439	P. F(1,627)	0.007	F-stat.	31.408	P. F(1,627)	0.000
Obs*R${}^2$	145.337	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	7.376	P. Chi${}^2$(1)	0.007	Obs*R${}^2$	30.005	P. Chi${}^2$(1)	0.000

HLT				IHG				MAR
F-stat.	23.846	P. F(1,627)	0.000	F-stat.	17.632	P. F(1,627)	0.000	F-stat.	59.206	P. F(1,627)	0.000
Obs*R${}^2$	23.046	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	17.205	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	54.270	P. Chi${}^2$(1)	0.000

WH				MGM
F-stat.	64.669	P. F(1,627)	0.000	F-stat.	2.651	P. F(1,627)	0.104
Obs*R${}^2$	58.809	P. Chi${}^2$(1)	0.000	Obs*R${}^2$	2.648	P. Chi${}^2$(1)	0.104

With the exceptions of SB and MGM, we reject the null hypothesis that the squared residuals from the regression of both Japanese and the US hotel log price differences on a constant do not have ARCH effects up to the lag = 1 term