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