A. Appendix A

#### See Tables A1–A5.


Notes: The p-values are given in parentheses.

\*, \*\*, \*\*\* denote 1%, 5% and 10% significance levels, respectively.

Table A1. Test results for GARCH(1, 1) model.


Notes: The p-values are given in parentheses.

\*, \*\*,\*\*\* denote 1%, 5% and 10% significance levels, respectively.

Table A2. Test results for EGARCH(1, 1) model.

The Impact of Exchange Rate Uncertainty on Domestic Investment: Panel Evidence from Emerging Markets… http://dx.doi.org/10.5772/intechopen.71195 231


Notes: The p-values are given in parentheses.

A. Appendix A

See Tables A1–A5.

(0.5834)

(0.0001)

(0.0000)

(0.0000)

0.7363 (0.4790)

Notes: The p-values are given in parentheses.

Table A1. Test results for GARCH(1, 1) model.

Notes: The p-values are given in parentheses.

Table A2. Test results for EGARCH(1, 1) model.

\*, \*\*,\*\*\* denote 1%, 5% and 10% significance levels, respectively.

0.0162 (0.1499)

230 Financial Management from an Emerging Market Perspective

0.0819\* (0.0000)

0.2107\* (0.0000)

0.4500\* (0.0000)

(10) 2.613 (0.989) 0.022 1.000 2.245 (0.994) 11.623

0.0007 (0.9993)

\*, \*\*, \*\*\* denote 1%, 5% and 10% significance levels, respectively.

Mean equation (C) 0.0051

Variance equation ω 0.0024\*

α 0.0530\*

β 0.9419\*

Q2

Q2

ARCH\_LM (2)

Mean equation

Variance equation

Q2

Q2

Country Chile Georgia Kenya Philippines Thailand Uganda Uruguay

0.0057 (0.3218)

0.0012\* (0.0000)

0.0770\* (0.0000)

0.9175\* (0.0000)

(0.311)

3.3374 (0.0678)

(1) 1.395 (0.237) 0.000 0.993 1.382 (0.240) 3.339 (0.068) 0.466 (0.495) 0.708 (0.400) 1.081 (0.298)

Country Brazil Hungary Madagascar Moldova Papua New Guinea

(C) 0.0064 (0.6120) 0.0126 (0.4045) 0.0154 (0.3655) 0.0087\*\* (0.0328) 0.0604\*\* (0.0000)

ω 0.1718\* (0.0000) 0.0595\* (0.0000) 0.1870\* (0.0000) 0.4689\* (0.0000) 0.1867\* (0.0000) α 0.2108\* (0.0000) 0.0751\* (0.0000) 0.1925\* (0.0000) 0.4394\* (0.0000) 0.3360\* (0.0000) γ 0.0737\* (0.0000) 0.0373\* (0.0000) 0.0588\* (0.0000) 0.0177\*\* (0.0482) 0.0958\* (0.0000) β 0.9746\* (0.0000) 0.9942\* (0.0000) 0.7837\* (0.0000) 0.9232\* (0.0000) 0.9693\* (0.0000)

(1) 0.157 (0.692) 0.1728 (0.678) 0.046 (0.829) 2.847 (0.092) 0.706 (0.401)

(10) 5.332 (0.868) 7.0918 (0.717) 0.332 (1.00) 7.372 (0.690) 2.979 (0.982) ARCH\_LM(2) 1.6679 (0.1888) 0.1832 (0.8326) 0.0254 (0.9749) 1.4528 (0.2341) 0.3683 (0.6919)

0.0063 (0.2287)

0.0032\* (0.0000)

0.1374\* (0.0000)

0.8488\* (0.0000)

1.5956 (0.2030) 0.0202 (0.0066)

0.0192\* (0.0000)

0.2088\* (0.0000)

0.7705\* (0.0000)

0.4433 (0.6419)

6.568 (0.765) 7.545 (0.673) 1.127 (1.000)

0.0001 (0.9936)

0.0475\* (0.0000)

0.0670\* (0.0000)

0.8841\* (0.0000)

0.5434 (0.5808)

0.0196 (0.0441)

0.0221\* (0.0000)

0.1501\* (0.0000)

0.8273\* (0.0000)

0.6929 (0.5002) \*, \*\*,\*\*\* denote 1%, 5% and 10% significance levels, respectively.

Table A3. Test results for EGARCH(1, 1) model.


Notes: The p-values are given in parentheses.

\*, \*\*,\*\*\* denote 1%, 5% and 10% significance levels, respectively.

Table A4. Test results for GJR-GARCH(1, 1) model.



Notes: The p-values are given in parentheses.

\*, \*\*,\*\*\* denote 1, 5 and 10% significance levels, respectively.

Table A5. Test results for GJR-GARCH(1, 1) model.
