Risk Estimation in Exchange Rate Markets Based on Stochastic Copula Approach

Table 2

Statistical tests for the exchange rate returns.

	USD/TRY	EUR/TRY	JPY/TRY
ADF stat.	−20.4	−21.1	−21.5
P value	<0.001	<0.001	<0.001
Ljung box Q stat.	58.101	68.059	25.734
P value	<0.001	<0.001	<0.001
ARCH LM stat.	570.97	644.33	596.06
P value	<0.001	<0.001	<0.001