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Table 8 Multivariate 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

Hosking's multivariate Portmanteau statistics on standardized residuals

Hosking's multivariate Portmanteau statistics on squared standardized residuals

FR_Fear

Hosking (5) = 109.924 [0.1226950]

Hosking (10) = 199.437 [0.1632712]

Hosking (20) = 378.861 [0.1184682]

Hosking (50) = 876.011 [0.2975651]

Hosking (5) = 132.612 [0.1451138]

Hosking (10) = 288.507 [0.1258590]

Hosking (20) = 389.349 [0.3820381]

Hosking (50) = 704.605 [0.9922171]

  1. […] indicate the probability (prob)
  2. H0: No serial correlation → Accept H0 when prob > 5%