Causality Tests and Their Applications to China’s Stock and Housing Markets
Table 2
Results of the AR-EGARCH model.
Model
AR (3)-EGARCH (1, 1)
AR (1)-EGARCH (1, 1)
Coefficient and variable
HPI
CSI300
0.049(0.002)
−0.020 (0.000)
1.108 (0.269)
0.981 (0.000)
0.476 (0.008)
−0.629 (0.012)
−0.001 (0.004)
0.015 (0.042)
−0.724 (0.019)
−0.894 (0.006)
0.746 (0.008)
0.758 (0.000)
−0.028 (0.864)
−0.120 (0.001)
0.429 (0.099)
0.471 (0.053)
Log likelihood
468.642
390.649
SBIC
−8.358
−6.931
21.620 (0.523)
24.143 (0.453)
41.205 (0.214)
40.832 (0.266)
Note. represents a 10% significant level; represents a 5% significant level; represents a 1% significant level; Q represents the Ljung–Box statistics; () represents the value.
