On Spillover Effect of Systemic Risk of Listed Securities Companies in China Based on Extended CoVaR Model

Table 5

ARCH test of stock yield series of securities companies.

Company	F-statistic	Prob. F	Obs.R-squared	Prob. chi-square (1)
C1	16.6167	0.0001	16.0655	0.0001
C2	28.6064	<0.0001	26.9248	<0.0001
C3	9.4442	0.0023	9.2820	0.0023
C4	8.3751	0.0040	8.2516	0.0041
C5	12.9090	0.0004	12.5866	0.0004
C6	34.3025	<0.0001	31.8848	<0.0001
C7	3.6144	0.0580	3.6007	0.0578
C8	22.0117	<0.0001	21.0240	<0.0001
C9	44.0837	<0.0001	40.1203	<0.0001
C10	6.5231	0.0110	6.4546	0.0111

(1) represents the degrees of freedom of the chi-square distribution and also represents the number of lag periods assumed in the ARCH test.