PANEL A: ARCH-LM Test for rert | ||
K Lag Length | F−statistic (p−Value) | Obs* R−squared (p−value) |
1 | 11.48538 (0.0008)** | 10.9979 (0.0009)** |
15 | 1.736397 (0.0473)** | 24.80025 (0.0527)* |
25 | 1.52444 (0.0630)* | 35.82729 (0.0743)* |
PANEL B: ARCH-LM TEST for roil | ||
K Lag Length | F−statistic(p−Value) | Obs*R−squared(p−value) |
1 | 152.3279 (0.0000)*** | 89.4748 (0.0000)*** |
15 | 12.16134 (0.0000)*** | 99.56883 (0.0000)*** |
25 | 7.59318 (0.0000)*** | 101.935 (0.0000)*** |