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 | 1.323 | 0.2500 | 1 | 2.227 | 0.1356 | 3 | 1.113 | 0.2914 |
2 | 2.710 | 0.0617 | 5 | 3.072 | 0.3941 | 5 | 1.375 | 0.6257 | ||
5 | 4.284 | 0.1838 | 9 | 3.533 | 0.6687 | 7 | 1.472 | 0.8269 | ||
STERLING | ARIMA(2,1,2) -EGARCH(1,1)-std | 1 | 0.0014 | 0.9707 | 1 | 0.0013 | 0.9716 | 3 | 0.0013 | 0.9716 |
11 | 0.0087 | 1.0000 | 5 | 0.0038 | 1.0000 | 5 | 0.0030 | 0.9999 | ||
19 | 0.0145 | 1.0000 | 9 | 0.0063 | 1.0000 | 7 | 0.0045 | 1.0000 | ||
UNITY | ARIMA(1,1,0) -GJR-GARCH(1,0) -norm | 1 | 0.0081 | 0.9283 | 1 | 0.3091 | 0.5782 | 2 | 0.0990 | 0.7530 |
2 | 0.0158 | 1.0000 | 2 | 0.3587 | 0.7639 | 4 | 2.5450 | 0.3332 | ||
5 | 4.3656 | 0.1730 | 5 | 2.3489 | 0.5386 | 6 | 2.8354 | 0.5386 | ||
ZENITH | ARIMA(2,1,1) -EGARCH(1,1)-std | 1 | 0.0010 | 0.9752 | 1 | 0.0009 | 0.9756 | 3 | 0.0009 | 0.9756 |
8 | 0.0058 | 1.0000 | 5 | 0.0028 | 1.0000 | 5 | 0.0022 | 0.9999 | ||
14 | 0.0100 | 1.0000 | 9 | 0.0047 | 1.0000 | 7 | 0.0033 | 1.0000 |