Test for ARCH effect
Critical values are got at 0.05 significance level.
pvalue stat critical values
ans = 0 56.7460 3.8415
0 106.1214 5.9915
0 139.6137 7.8147
0 167.4300 9.4877
Ramsey RESET test:
F‐statistics p value
F = 1.2383e+003 pvalue = 0
Variance ratio test for random walk
h = 1 1 1 0 1 1
pValue = 0.0197 0.0014 0.0018 0.0877 0.0228 0.0254
stat = ‐2.3316 ‐3.2020 ‐3.1189 ‐1.7078 ‐2.2769 ‐2.2358
cValue = 1.9600 1.9600 1.9600 1.9600 1.9600 1.9600