Table 2.
Result of ARCH-LM test.
| Variable | Lags | test-stat | p.value |
|---|---|---|---|
| d_csp500 | 4 | 903.7 | 0.0000 |
| d_csp500 | 8 | 392.5 | 0.0000 |
| d_csp500 | 12 | 258.5 | 0.0000 |
| d_csp500 | 16 | 189.4 | 0.0000 |
| d_csp500 | 20 | 148.9 | 0.0000 |
| d_csp500 | 24 | 122.3 | 0.0000 |
| d_cspa | 4 | 1741.7 | 0.0000 |
| d_cspa | 8 | 786.3 | 0.0000 |
| d_cspa | 12 | 457.2 | 0.0000 |
| d_cspa | 16 | 327.4 | 0.0000 |
| d_cspa | 20 | 254.5 | 0.0000 |
| d_cspa | 24 | 208.3 | 0.0000 |
| d_cspe35 | 4 | 3587.8 | 0.0000 |
| d_cspe35 | 8 | 1383.0 | 0.0000 |
| d_cspe35 | 12 | 690.1 | 0.0000 |
| d_cspe35 | 16 | 506.9 | 0.0000 |
| d_cspe35 | 20 | 386.0 | 0.0000 |
| d_cspe35 | 24 | 317.5 | 0.0000 |
| d_spas | 4 | 1352.4 | 0.0000 |
| d_spas | 8 | 605.8 | 0.0000 |
| d_spas | 12 | 377.5 | 0.0000 |
| d_spas | 16 | 275.1 | 0.0000 |
| d_spas | 20 | 217.8 | 0.0000 |
| d_spas | 24 | 178.1 | 0.0000 |
| d_spe35 | 4 | 2041.7 | 0.0000 |
| d_spe35 | 8 | 899.2 | 0.0000 |
| d_spe35 | 12 | 482.7 | 0.0000 |
| d_spe35 | 16 | 357.0 | 0.0000 |
| d_spe35 | 20 | 271.3 | 0.0000 |
| d_spe35 | 24 | 222.5 | 0.0000 |
| d_sps5 | 4 | 982.0 | 0.0000 |
| d_sps5 | 8 | 418.8 | 0.0000 |
| d_sps5 | 12 | 273.8 | 0.0000 |
| d_sps5 | 16 | 201.3 | 0.0000 |
| d_sps5 | 20 | 158.0 | 0.0000 |
| d_sps5 | 24 | 129.8 | 0.0000 |
| d_ovx | 4 | 27602.9 | 0.0000 |
| d_ovx | 8 | 4037.6 | 0.0000 |
| d_ovx | 12 | 2652.3 | 0.0000 |
| d_ovx | 16 | 1822.0 | 0.0000 |
| d_ovx | 20 | 1451.8 | 0.0000 |
| d_ovx | 24 | 1192.6 | 0.0000 |
| d_gvz | 4 | 1976.2 | 0.0000 |
| d_gvz | 8 | 961.7 | 0.0000 |
| d_gvz | 12 | 636.2 | 0.0000 |
| d_gvz | 16 | 473.0 | 0.0000 |
| d_gvz | 20 | 376.0 | 0.0000 |
| d_gvz | 24 | 310.1 | 0.0000 |
| d_vix | 4 | 3317.3 | 0.0000 |
| d_vix | 8 | 1578.3 | 0.0000 |
| d_vix | 12 | 1040.1 | 0.0000 |
| d_vix | 16 | 774.9 | 0.0000 |
| d_vix | 20 | 614.9 | 0.0000 |
| d_vix | 24 | 508.2 | 0.0000 |
| d_soil | 4 | 163914.2 | 0.0000 |
| d_soil | 8 | 47881.6 | 0.0000 |
| d_soil | 12 | 20809.0 | 0.0000 |
| d_soil | 16 | 15536.5 | 0.0000 |
| d_soil | 20 | 11396.9 | 0.0000 |
| d_soil | 24 | 8487.2 | 0.0000 |
| d_sgold | 4 | 2908.0 | 0.0000 |
| d_sgold | 8 | 1332.4 | 0.0000 |
| d_sgold | 12 | 858.9 | 0.0000 |
| d_sgold | 16 | 635.5 | 0.0000 |
| d_sgold | 20 | 499.7 | 0.0000 |
| d_sgold | 24 | 405.3 | 0.0000 |