Volatility Analysis of Exchange Rate with Correlated Errors: A Sliding Data Matrix Approach

Table 5

Statistical test for serial correlation.

Country	Variable	Test stat.	value
China	Exch. rate	4.6536	0.0001
	Growth rate	4.6025	0.0001
South Africa	Exch. rate	0.0668	0.9467
	Growth rate	-0.3950	0.6929
Canada	Exch. rate	0.6204	0.5350
	Growth rate	0.7883	0.4305
Switzerland	Exch. rate	2.1649	0.0304
	Growth rate	1.9332	0.0532

Source: FRED, 2000-2020.