Table 2.

No-remaining nonlinearity test.

Null hypothesis	r = 1		r = 1		r = 1		r = 1		r = 1		r = 1
Alternative hypothesis	r = 2		r = 2		r = 2		r = 2		r = 2		r = 2
No. of location parameters (m)	m = 1		m = 2		m = 1		m = 2		m = 1		m = 2
Lag length of transition variable	Transition variable				Transition variable				Transition variable
	CDS				VIX				TED spread
d = 0	6.813	[0.00]	9.48	[0.00]	3.960	[0.01]	11.22	[0.00]	6.954	[0.00]	6.456	[0.00]
d = 1	2.349	[0.07]	12.06	[0.00]	14.00	[0.00]	13.84	[0.00]	0.072	[0.98]	6.728	[0.00]
d = 2	3.389	[0.02]	12.85	[0.00]	9.725	[0.00]	16.45	[0.00]	1.802	[0.15]	3.022	[0.01]
d = 3	8.517	[0.00]	10.26	[0.00]	12.08	[0.00]	7.397	[0.00]	4.04	[0.01]	8.268	[0.00]
d = 4	5.484	[0.00]	12.19	[0.00]	4.014	[0.01]	7.221	[0.00]	5.598	[0.00]	0.007	[1.00]
d = 5	4.557	[0.01]	3.988	[0.00]	5.406	[0.00]	21.52	[0.00]	8.759	[0.00]	10.32	[0.00]
d = 6	1.125	[0.34]	15.19	[0.00]	5.966	[0.00]	11.38	[0.00]	23.65	[0.00]	6.931	[0.00]

Note: The test statistic is LM_F. r denotes the number of transition functions. The digits in brackets are the P-values. The significance level is specified at 5%.