2010 Vol. 4 Num. 2 - GCG: Revista de Globalización, Competitividad ...

Conditional volatility in sustainable and traditional stock exchange indexes: analysis of the Spanish market112 Table IV. Stationarity and Heteroskedasticity tests of IBEX35 and FTSE4Good-IBEX return seriesTest / Index IBEX35 FTSE4Good-IBEXDF -21.49*** -21.14***PP -21.58*** -21.14***ARCH (5)18.84*** 13.02***LB (5)18.23*** 12.47***** Significant at 1% level, ** Significant at 5% level, * Significant at 10% level. Critical values for Dickey-Fuller and Phillips-Perron unitroot tests: 1% level = -2.574, 5% level = -1.942, 10% level = -1.616. ARCH and LB tests are based on residuals of a random walk with anintercept model of return series of both stock exchange indexesAs can be seen in Figures 3 and 4, there are no residual stationarity or autocorrelation problemsfor either model so the econometric models introduced in the next section will bebased on this process.Figure 3: IBEX35 residuals correlogramFigure 4: FTSE4Good-IBEX residuals correlogramGCG GEORGETOWN UNIVERSITY - UNIVERSIA 2010 VOL. 4 NUM. 2 ISSN: 1988-7116