1. Generalized autoregressive conditional heteroskedasticity;T Bollerslev;J. Econom,1986
2. Volume autocorrelation, information, and investor trading;V Covrig;J. Banking Fin,2004
3. A general approach to Lagrange multiplier model diagnostics;R F Engle;J. Econom,1982
4. The high-volume return premium;S Gervais;J. Fin,2001
5. We can reject the null hypothesis of no ARCH effect if the probability of Chi-squared distribution is less than 0.05 (5%). *, **, and *** denote the significance at 10%, 5%, and 1%, respectively;Lagrange Multiplier test,1982