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Anexo 3.
Prueba de efectos ARCH de la series de rendimientos de los fondos de inversión.
1. Fondos de renta variable.
a) laccivalb c
ARCH Test:
F-statistic
Obs*R-squared
9.423637
174.2641
Probability
Probability
0.000000
0.000000
20.95326
351.0347
Probability
Probability
0.000000
0.000000
12.81747
229.9846
Probability
Probability
0.000000
0.000000
15.65225
274.0760
Probability
Probability
0.000000
0.000000
10.52459
192.7051
Probability
Probability
0.000000
0.000000
7.014149
132.5834
Probability
Probability
0.000000
0.000000
8.600035
160.2166
Probability
Probability
0.000000
0.000000
b) lbbvainte c
ARCH Test:
F-statistic
Obs*R-squared
c) lbmerpatb c
ARCH Test:
F-statistic
Obs*R-squared
d) lfbolsab c
ARCH Test:
F-statistic
Obs*R-squared
e) lfirmeb c
ARCH Test:
F-statistic
Obs*R-squared
f)
lfoniburb c
ARCH Test:
F-statistic
Obs*R-squared
g) lnafindxb c
ARCH Test:
F-statistic
Obs*R-squared
2. Fondos de renta fija
a) lbbvaeurb c
ARCH Test:
F-statistic
Obs*R-squared
10.55993
192.1986
Probability
Probability
0.000000
0.000000
37.87220
547.7741
Probability
Probability
0.000000
0.000000
4.844634
93.21576
Probability
Probability
0.000000
0.000000
b) lbmerlpp c
ARCH Test:
F-statistic
Obs*R-squared
c) lnteco1b c
ARCH Test:
F-statistic
Obs*R-squared