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 |