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s and foreign exchange, Wiley: Chichester. Chps29.1-3**
Engle (1982), Autoregressive conditional heteroscedasticitywith estimates of the variance of UK inflation, Econometrica, 50, 987-1008.
**Key referencesWarwick Business School 30
Appendix: A simple test for ARCH effects
ARCH LM TestStep 1: Estimate the mean equationStep 2: Regress on qlagged values of itself Test using the LM statisticReject the null (no ARCH effects) if the LM stat exceeds the 5% critical value of the distribution. ttrεμˆˆ+=2ˆtεtqtqttuˆˆ...ˆˆ221102++++=−−εγεγγε0...:10===qHγγ22~qaTRχ2qχWarwick Business School 31
ARCH Test example: SP500 returns (In Eviews: View/Residual Test/ARCH LM Test…)ARCH Test:F-statistic79.48879 Prob. F(5,3022)0Obs*R-squared351.9462 Prob. Chi-Square(5)0Test Equation:Dependent Variable: RESID^2Method: Least SquaresDate: 02/19/06 Time: 22:23Sample (adjusted): 1/11/1994 1/11/2006Included observations: 3028 after adjustmentsVariableCoefficientStd. Errort-StatisticProb. C4.78E-055.43E-068.8071160RESID^2(-1)0.1197010.0180716.6237880RESID^2(-2)0.1066590.018155.8766590RESID^2(-3)0.1426930.0180687.8977650RESID^2(-4)0.0760.0181494.1874550RESID^2(-5)0.1144380.0180716.3325040R-squared0.116231 Mean dependent va0.000109Adjusted R-squa0.114768 S.D. dependent var0.000262S.E. of regressio0.000247 Akaike info criterion-13.77641Sum squared re0.000184 Schwarz criterion-13.76449Log likelihood20863.48 F-statistic79.48879Durbin-Watson s2.010396 Prob(F-statistic)0The test rejects⇒evidence of ARCH effectsin SP500 returns本论文由英语论文网提供整理，提供论文代写，英语论文代写，代写论文，代写英语论文，代写留学生论文，代写英文论文，留学生论文代写相关核心关键词搜索。