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Malta Stock Exchange (Three Check Points (Annova Test (Probability (F…
Malta Stock Exchange
Three Check Points
Annova Test
Probability (F-statistics)
Should be Zero
F-statistic
Should be more than 20
Durbin Watson Stat
Ideally near to 2, means no Auto-Correlation
Probability
Should be less than 5%
Tests Conducted
Normality Test (JB Test)
Unit Root Test (ADF Test)
ARCH & GARCH
Other Parameters
Schwarz Criterion (SC)
Hannan-Quinn Criterion (HQC)
Akaike Info Criterion (AIC)
Alogrithm
genr closel=log(close)
ls closel c closel(-1)
ADF closel
ARCH & GARCH Test