Notes
†The original euro 11 includes Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal, and Spain. Four member countries of the European Union—Denmark, Greece, Sweden, and the United Kingdom—did not join the first wave. Greece, however, joined the euro club in 2001 when it could satisfy the convergence criteria. For more details, consult the website of the European Central Bank and the textbook by Eun and Resnick (Citation2007).
‡On May 1, 2004, the EU expanded by admitting 10 new member countries: Cyprus, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Malta, Poland, Slovak Republic, and Slovenia. As of January 1, 2007, Bulgaria and Romania were also admitted into the EU.
†See Bollerslev et al. (Citation1992) for an earlier extensive literature review and Teräsvirta (Citation2009) for a more recent survey.
†We acknowledge one of the anonymous referees for pointing out this alternative.
†An anonymous referee suggests extending the time period to include the current episodes of stock market volatility. We thus extend the sample period to the end of 2007 and re-estimate the whole model. The results are available upon request from the corresponding author. In general, the location parameters and shape of the estimated unconditional variances are similar between the original sample and the extended sample.
†We acknowledge the two anonymous referees for pointing this out.
‡An anonymous referee suggests that the Q 2(25) statistic does not have an asymptotic χ 2 distribution under the current situation. We instead report the Q*(25) statistic to test for ‘no remaining ARCH’ up to 25th order proposed by Lundbergh and Teräsvirta (Citation2002), who showed that Q*(25) is asymptotically equal to the portmanteau statistic introduced by Li and Mak (Citation1994).
†We thank an anonymous referee for expressing this possible viewpoint.
‡We thank the referees for pointing this out.