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Table 7 Univariate tests of residuals correlation

From: Contagion effect of migration fear in pre and European refugee’s crisis period: evidence from multivariate GARCH and wavelet empirical analysis

Variable

Q-statistics on standardized residuals

Q-Statistics on squared standardized residuals

FR_Fear

Q (5) = 9.73815 [0.1830037]

Q (10) = 15.5819 [0.1122440]

Q (20) = 19.2521 [0.5054989]

Q (50) = 48.1240 [0.5489708]

Q (5) = 2.10357 [0.8346369]

Q (10) = 9.46889 [0.4882557]

Q (20) = 16.5350 [0.6829316]

Q (50) = 37.9797 [0.8937025]

GER_Fear

Q (5) = 17.4268 [0.1375716]

Q (10) = 36.0702 [0.1208139]

Q (20) = 57.9728 [0.2341462]

Q (50) = 75.7690 [0.4188069]

Q (5) = 1.70384 [0.8884160]

Q (10) = 2.41900 [0.9920042]

Q (20) = 3.13821 [0.9999940]

Q (50) = 13.7575 [0.9999999]

UK_Fear

Q (5) = 7.82039 [0.1664158]

Q (10) = 11.9488 [0.2884998]

Q (20) = 26.4900 [0.1502311]

Q (50) = 64.9876 [0.0755088]

Q (5) = 1.01779 [0.9611178]

Q (10) = 11.4352 [0.3246311]

Q (20) = 13.8300 [0.8390111]

Q (50) = 33.6690 [0.9629763]

USA-Fear

Q (5) = 6.98172 [0.2220032]

Q (10) = 10.4420 [0.4026106]

Q (20) = 23.7487 [0.2535436]

Q (50) = 61.7412 [0.1233143]

Q (5) = 5.79727 [0.3264481]

Q (10) = 8.12911 [0.6162271]

Q (20) = 11.2684 [0.9389630]

Q (50) = 30.5897 [0.9861625]

  1. […] indicate the probability (prob)
  2. H0: No serial correlation → Accept H0 when prob. is High [Q < Chisq(lag)]