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

Table 6

ARCH test of index yield series.

Index	F-statistic	Prob. F	Obs.R-squared	Prob. chi-square (1)
All Share Brokerage Index	12.4252	0.0005	12.1284	0.0005
All Share Financials Index	6.7539	0.0097	6.6794	0.0098
All Share Insurance Index	6.4876	0.0112	6.4200	0.0113
CSI Banks Index	3.0328	0.0823	3.0255	0.0820
CSI 500 Index	1.6608	0.1982	1.6621	0.1973

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