β

Statistic

Estimated Values

Estimate of Test Statistic

Mean

Variance

γ 1

γ 2

JB value

Q*

H 0

−0.60

X t

0.0418

1.9037

0.27

1.20

10.28

8.44

-

X t 2

1.8923

11.3331

3.09

11.85

1072.25

71.39

-

X t 3

0.9233

186.5203

3.78

26.73

4628.20

22.66

257.74

−0.59

X t

0.0410

1.8610

0.24

1.11

8.78

8.16

.

X t 2

1.8490

10.5110

2.99

11.09

952.49

70.34

-

X t 3

0.8100

164.3700

3.61

25.83

4315.90

20.32

243.12

−0.58

X t

0.0390

1.8200

0.21

1.02

7.30

7.89

.

X t 2

1.8090

9.7720

2.89

10.39

848.16

69.04

-

X t 3

0.7100

145.5500

3.44

24.98

4028.01

18.02

230.17

−0.57

X t

0.0380

1.7800

0.18

0.94

6.08

7.63

.

X t 2

1.7700

9.1080

2.80

9.75

758.53

67.49

-

X t 3

0.6220

129.4920

3.29

24.13

3753.32

15.84

218.89

−0.56

X t

0.0370

1.7430

0.15

0.87

5.12

7.39

.

X t 2

1.7320

8.5110

2.72

9.16

680.73

65.73

-

X t 3

0.5390

115.7480

3.14

23.25

3479.84

13.84

208.38

−0.55

X t

0.0360

1.7080

0.13

0.80

4.29

7.15

.

X t 2

1.6970

7.9730

2.64

8.61

612.26

63.76

-

X t 3

0.4630

103.9380

2.99

22.32

3203.09

12.04

198.86

−0.54

X t

0.0346

1.6739

0.10

0.74

3.58

6.93

-

X t 2

1.6634

7.4872

2.57

8.09

550.71

61.63

-

X t 3

0.3948

93.7500

2.84

21.33

2921.69

10.48

190.56

−0.53

X t

0.0334

1.6416

0.08

0.69

3.00

6.73

-

X t 2

1.6313

7.0486

2.50

7.59

495.95

59.36

-

X t 3

0.3325

84.9253

2.69

20.27

2637.97

9.18

183.01

−0.52

X t

0.0322

1.6108

0.06

0.64

2.52

6.54

-

X t 2

1.6006

6.6518

2.44

7.12

446.71

56.99

-

X t 3

0.2759

77.2508

2.54

19.16

2356.47

8.12

176.21

−0.51

X t

0.0310

1.5814

0.04

0.59

2.12

6.36

-

X t 2

1.5714

6.2921

2.38

6.66

402.32

54.54

-

X t 3

0.2246

70.5498

2.39

18.01

2082.80

7.31

170.07