Table 3.
Results of ARCH LM Test.
| Fund Type | Sub Category | No of Funds | Estimate | Test Statistic | Distribution | Prob. |
|---|---|---|---|---|---|---|
| Capital Market | Equities | 52 | F-statistic | 8.474901*** | Prob. F(1249) | 0.0001 |
| Obs*R-squared | 8.400141*** | Prob. Chi-Square(1) | 0.0001 | |||
| Debt | 41 | F-statistic | 5.583193** | Prob. F(1249) | 0.0189 | |
| Obs*R-squared | 5.504611** | Prob. Chi-Square(1) | 0.0190 | |||
| Money Market | Treasury | 25 | F-statistic | 5.27596** | Prob. F(1249) | 0.0195 |
| Obs*R-squared | 5.18427** | Prob. Chi-Square(1) | 0.0199 | |||
| Corporates | 41 | F-statistic | 6.28364** | Prob. F(1249) | 0.0112 | |
| Obs*R-squared | 6.24887** | Prob. Chi-Square(1) | 0.0115 | |||
| Alternative Investments | Private Equity | 20 | F-statistic | 7.706211*** | Prob. F(1249) | 0.0027 |
| Obs*R-squared | 7.64542*** | Prob. Chi-Square(1) | 0.0029 | |||
| Real Estate | 24 | F-statistic | 10.55721*** | Prob. F(1249) | 0.0005 | |
| Obs*R-squared | 10.13469*** | Prob. Chi-Square(1) | 0.0006 | |||
| Venture Capital | 20 | F-statistic | 8.6231*** | Prob. F(1249) | 0.0003 | |
| Obs*R-squared | 8.4925*** | Prob. Chi-Square(1) | 0.0004 | |||
| Social Entrepreneurship | 23 | F-statistic | 6.605913** | Prob. F(1249) | 0.0107 | |
| Obs*R-squared | 6.486877** | Prob. Chi-Square(1) | 0.0109 | |||
| Infrastructure | 20 | F-statistic | 11.79439*** | Prob. F(1249) | 0.0007 | |
| Obs*R-squared | 11.35144*** | Prob. Chi-Square(1) | 0.0008 |
*** represents significance at 99%, ** at 95% and * at 90%.