Hybrid Model for Stock Market Volatility

Table 1

The McLeod-Li test for ARCH effect in standardized residuals.

	Number of lags	Test statistic	values
S&P 500	10	11.387	0.328
	15	19.975	0.173
	20	22.809	0.298
	25	23.282	0.561
	30	25.494	0.701
NASDAQ100	10	3.981	0.948
	15	15.021	0.450
	20	16.440	0.689
	25	19.325	0.781
	30	21.347	0.877