ARCH LM Test not giving proper results

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vaibhavapj
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Joined: Tue Feb 19, 2019 3:18 am

ARCH LM Test not giving proper results

Postby vaibhavapj » Sat Jun 01, 2019 4:54 am

Hello,

We are facing an issue with the getting no ARCH effect in the "niftyr" series which i am not able to understand since stock market series always have hetroskedecity. Please advice where things are gone wrong why hetroskedecity is not getting confirmed ? MS excel file attached, where sheet 2 has the data.


This is on behalf of a friend

Dependent Variable: NIFTYR
Method: Least Squares
Date: 06/01/19 Time: 17:21
Sample: 4/04/2011 3/30/2018
Included observations: 1825

Variable Coefficient Std. Error t-Statistic Prob.

C 0.034702 0.022144 1.567089 0.1173

R-squared 0.000000 Mean dependent var 0.034702
Adjusted R-squared 0.000000 S.D. dependent var 0.945997
S.E. of regression 0.945997 Akaike info criterion 2.727393
Sum squared resid 1632.315 Schwarz criterion 2.730411
Log likelihood -2487.746 Hannan-Quinn criter. 2.728506
Durbin-Watson stat 1.862553


Heteroskedasticity Test: ARCH

F-statistic 1.854354 Prob. F(1,1822) 0.1734
Obs*R-squared 1.854502 Prob. Chi-Square(1) 0.1733


Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 06/01/19 Time: 17:23
Sample (adjusted): 4/05/2011 3/30/2018
Included observations: 1824 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 0.865332 0.047563 18.19328 0.0000
RESID^2(-1) 0.031886 0.023415 1.361747 0.1734

R-squared 0.001017 Mean dependent var 0.893866
Adjusted R-squared 0.000468 S.D. dependent var 1.824015
S.E. of regression 1.823587 Akaike info criterion 4.040584
Sum squared resid 6059.007 Schwarz criterion 4.046624
Log likelihood -3683.013 Hannan-Quinn criter. 4.042812
F-statistic 1.854354 Durbin-Watson stat 2.006003
Prob(F-statistic) 0.173446
Attachments
Rough.xlsx
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