Coin

Cumulative sum test for parameter stability

Structural break test

LM test for autoregressive conditional heteroskedasticity [ARCH]

Test statistic

1% critical value

5% critical value

10% critical value

Conclusions

Swald test

Estimated break week

Conclusions

Chi2

p-value

Conclusion

D.OIL

0.818

1.1430

0.9479

0.850

No Break

11.660**

2016w3

Break

0.847

0.3573

No ARCH effects

D.LIBOR

1.529***

1.1430

0.9479

0.850

Break

34.769***

2016w46

Break

28.874***

0.0000

ARCH[p] disturbance

D.SP500

0.509

1.1430

0.9479

0.850

No Break

2.061

2016w7

No Break

4.426**

0.0354

ARCH[p] disturbance

D.GOLD

0.667

1.1430

0.9479

0.850

No Break

2.494

2015w49

No Break

0.067

0.7965

No ARCH effects