**Conflict of interest**

The author declares no conflict of interest.

**Diagnostic test of Generalised error distribution for serial correlation**

**Autocorrelation Partial Correlation AC PAC Q-Stat Prob**\* .|. | .|. | 1 0.022 0.022 0.1171 0.732 .|. | .|. | 2 0.034 0.035 0.4108 0.814 .|\* | .|\* | 3 0.084 0.083 2.1762 0.537 .|. | .|. | 4 0.018 0.021 2.2581 0.688 .|. | .|. | 5 0.025 0.031 2.4107 0.790 .|. | .|. | 6 0.007 0.003 2.4232 0.877 .|. | .|. | 7 0.034 0.033 2.7153 0.910 .|. | .|. | 8 0.015 0.012 2.7737 0.948 .|. | .|. | 9 0.057 0.056 3.5908 0.936 .|. | .|. | 10 0.028 0.037 3.7903 0.956 .|\* | .|\* | 11 0.084 0.076 5.6165 0.898 .|. | .|. | 12 0.025 0.034 5.7782 0.927 .|. | .|. | 13 0.060 0.049 6.7146 0.916 .|. | .|. | 14 0.047 0.060 7.2915 0.923 .|. | .|. | 15 0.042 0.055 7.7527 0.933 \*|. | \*|. | 16 0.067 0.066 8.9174 0.917 .|. | .|. | 17 0.011 0.016 8.9485 0.942 .|. | .|. | 18 0.012 0.014 8.9844 0.960

\* no serial correlation since p-values >0.05%

**Date: 05/12/20 Time: 00:10 Sample: 2000:01 2020:12 Included observations: 243**

**186**

**Autocorrelation Partial Correlation AC PAC Q-Stat Prob**\* .|. | \*|. | 23 0.060 0.070 11.101 0.982 .|\* | .|\* | 24 0.152 0.155 17.408 0.831 .|. | .|. | 25 0.047 0.039 18.003 0.842 .|\* | .|\* | 26 0.076 0.110 19.586 0.811 \*|. | \*|. | 27 0.085 0.102 21.580 0.758 .|. | .|. | 28 0.037 0.030 21.949 0.784 .|\* | .|\* | 29 0.173 0.133 30.315 0.398 .|. | .|. | 30 0.013 0.008 30.366 0.447 .|. | .|\* | 31 0.060 0.074 31.367 0.448 .|. | .|. | 32 0.012 0.047 31.407 0.496 .|. | .|. | 33 0.017 0.039 31.486 0.543 .|\* | .|. | 34 0.075 0.072 33.071 0.513 \*|. | \*|. | 35 0.084 0.121 35.098 0.464 .|. | .|. | 36 0.015 0.014 35.160 0.508

*Linear and Non-Linear Financial Econometrics - Theory and Practice*

*Linear and Non-Linear Financial Econometrics - Theory and Practice*

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