Group | Indices and ETFs | Type | ADF | ARMA | AIC | LM | ARCH LM | GARCH | AIC | ARCH LM | EGARCH | AIC | ARCH LM |
High Yield | DXJR | ETF | −30.189*** | (1,1) | 4.740 | 0.119 | 0.006 | (0,1) | 4.512 | 0.007 | (1,2) | 2.361 | 2.361 |
NYSE | Indices | −30.062*** | (3,3) | 2.343 | 0.363 | 99.926*** | (3,2) | 2.084 | 1.102 | (3,1) | 2.030 | 0.505 | |
GOEX | ETF | −39.216*** | (2,3) | 4.962 | 0.000 | 5.823* | (2,2) | 4.880 | 0.326 | (3,3) | 4.857 | 2.861 | |
NYSE | Indices | −39.054*** | (3,3) | 2.328 | 2.048 | 118.693*** | (3,3) | 2.151 | 0.165 | (3,3) | 2.115 | 1.328 | |
AMZA | ETF | −24.918*** | (1,2) | 4.666 | 1.190 | 194.358*** | (1,3) | 4.172 | 0.061 | (3,1) | 4.125 | 0.337 | |
NYSE | Indices | −28.400*** | (3,1) | 2.384 | 1.565 | 89.362*** | (3,3) | 2.115 | 2.177 | (3,2) | 2.062 | 8.230** | |
Low Yield | SPLG | ETF | −38.247*** | (3,3) | 2.265 | 0.765 | 65.126*** | (1,1) | 2.151 | 2.460 | (3,2) | 2.082 | 1.256 |
NYSE | Indices | −39.054*** | (3,3) | 2.328 | 2.048 | 118.693*** | (3,3) | 4.061 | 0.167 | (3,1) | 2.131 | 1.203 | |
PGHY | ETF | −32.462*** | (2,0) | 0.734 | 1.018 | 63.106*** | (1,3) | 0.407 | 1.463 | (1,3) | 0.410 | 2.808 | |
NYSE | Indices | −33.612*** | (1,1) | 2.268 | 0.662 | 118.212*** | (3,3) | 2.063 | 1.140 | (2,1) | 2.016 | 3.129 | |
SHYG | ETF | −30.429*** | (2,2) | 0.223 | 2.005 | 124.039*** | (3,1) | −0.041 | 0.040 | (3,3) | −0.108 | 0.428 | |
NYSE | Indices | −32.693*** | (3,3) | 2.280 | 0.545 | 113.494*** | (3,2) | 2.061 | 1.043 | (3,3) | 2.018 | 3.158 |