id	author	title	date	pages	extension	mime	words	sentence	flesch	summary	cache	txt
dem-1080	Olbryś, Joanna	ARCH Effect in Classical Market-Timing Models with Lagged Market Variable: the Case of Polish Market	2011	18	.pdf	application/pdf	8174	286	61	The ARCH effect in market-timing models (2) and (3) of Polish equity mutual funds in the entire sample P1 (period from Jan 2, 2003 to June 30, 2011) Equity fund (short name) T-M model H-M model LM p-value LB p-value LM p-value LB p-value 1 Arka 326.8 110-68 157.6 410-30 346.9 710-73 159.5 210-30 2 Aviva 257.1 110-53 299.9 410-60 258.3 910-54 306.7 110-61 3 BPH 424.6 110-89 434.2 910-89 427.0 410-90 436.5 210-89 4 ING 443.9 110-93 442.4 110-90 445.2 510-94 444.5 510-91 5 Investor 25 404.4 310-85 145.1 210-27 390.4 310-82 142.1 810-27 6 Investor ADS 524.4 410-111 474.7 110-97 531.8 110-112 475.1 110-97 7 Investor 460.3 210-97 498.0 110-102 459.4 410-97 497.2 210-102 8 Legg Mason 402.1 110-84 333.1 310-67 408.6 410-86 334.2 210-67 9 Millennium 437.6 210-92 371.2 210-75 439.8 710-93 374.7 410-76 10 Novo 622.2 310-132 489.3 110-100 609.5 110-129 485.7 810-100 11 Pioneer 423.7 210-89 372.1 110-75 426.6 510-90 374.4 510-76 12 PKO 485.9 810-103 379.1 510-77 477.1 710-101 379.0 510-77 13 PZU 402.0 110-84 387.0 110-78 404.9 210-85 391.8 110-79 14 Skarbiec 384.4 610-81 427.0 310-87 385.5 410-81 426.7 310-87 15 UniKorona 371.4 410-78 519.3 510-107 376.8 210-79 519.7 410-107 Note: The table is based on the entire sample P1; T-M (2) is the classical Treynor-Mazuy model with the lagged excess return on market portfolio M as additional factor; H-M (3) is the classical Henriksson-Merton model with the lagged excess return on market portfolio M as additional factor; LM is the Engle (1982) N o. P5 P6 P7 P8 T-M H-M T-M H-M T-M H-M T-M H-M LM LB LM LB LM LB LM LB LM LB LM LB LM LB LM LB 1 + + + + + + + + + + + + + + + + 2 + + + + - + - + - + - + + + + + 3 + - + - + - + - - - - - + - + - 4 + + + + + - + - + - + - - + - + 5 + + + + + + + + + + + + + + + + 6 + + + + + + + + + + + + - - - - 7 + + + + + + + + + + + + + - + - 8 + - + - + - + - + + + + - - - - 9 + - + - + - + - + - + - + - + - 10 + + + + + + + + + + + + + + + + 11 + - + - + - + - + - + - - - - - 12 + + + + + + + + + - + - - - - - 13 + - + - + - + - + + + + + + + + 14 + + + + + + + + + + + + + + + + 15 + + + + + + + + + + + + + + + + Note: Table 4a is based on the samples P1– P4 and Table 4b is based on the samples P5– P8 (Table 1); T-M (2) is the classical Treynor-Mazuy model with the lagged excess return on market portfolio M as additional factor; H-M (3) is the classical Henriksson-Merton model with the lagged excess return on market portfolio M as additional factor; LM is the Engle (1982) statistic at the lag q, which should be distributed as chi-squared; LB is the Ljung-Box (1978) statistic at the lag q, which should be distributed as chi-squared; + denotes that statistic value is larger than the critical table value of chi-squared and gives evidence of the presence of ARCH effect; – denotes that statistic value is smaller than the critical table value of chi-squared.	cache/dem-1080.pdf	txt/dem-1080.txt