Bank | Model | Standardized Residuals | Standardized Squared Residuals | |||||||
Lag | Weighted LB | p-value | Lag | Weighted LB | p-value | Lag | Weighted ARCH ?LM | p-value | ||
SKYE | ARIMA(1,1,0)-GARCH(1,1)-norm | 1 | 0.0132 | 0.9085 | 1 | 0.0004 | 0.9833 | 3 | 0.0005 | 0.9829 |
2 | 0.015 | 1.0000 | 5 | 0.0014 | 1.000 | 5 | 0.0011 | 1.0000 | ||
5 | 0.0237 | 1.0000 | 9 | 0.0023 | 1.000 | 7 | 0.0016 | 1.0000 | ||
STERLING | ARIMA(2,1,0)-EGARCH(1,1)-norm | 1 | 0.0944 | 0.7587 | 1 | 0.0003 | 0.9851 | 3 | | 0.9837 |
5 | 0.1192 | 1.0000 | 5 | 0.0012 | 1.0000 | 5 | 0.0010 | 1.0000 | ||
9 | 0.1588 | 1.0000 | 9 | 0.0021 | 1.0000 | 7 | 0.0015 | 1.0000 | ||
UNITY | ARIMA(0,1,1)- GARCH (1,1)-norm | 1 | 0.0031 | 0.9557 | 1 | 0.0008 | 0.9776 | 3 | 0.0008 | 0.9776 |
2 | 0.0031 | 1.0000 | 5 | 0.0024 | 1.0000 | 5 | 0.0019 | 1.0000 | ||
5 | 0.0035 | 1.0000 | 9 | 0.0039 | 1.0000 | 7 | 0.0028 | 1.0000 | ||
ZENITH | ARIMA(2,1,1)-EGARCH(1,1)-std | 1 | 0.0014 | 0.9697 | 1 | 0.0014 | 0.9704 | 3 | 0.0014 | 0.9704 |
8 | 0.0066 | 1.0000 | 5 | 0.0041 | 1.0000 | 5 | 0.0033 | 0.9999 | ||
14 | 0.0111 | 1.0000 | 9 | 0.0069 | 1.0000 | 7 | 0.0049 | 1.0000 |