Below is the daily returns for FTSe 100 and the residuals from the GARCH(1, 1) model. As can be seen from the chart, heteroskedasticity as been removed from the residuals.
The histogram does not show any significant improvement in the normality of the residual. The Jarque-Bera test reveals that the normality of the data has been markedly improved. The chi-squared has decreased from 8854 to 131. The null of normality must however still be rejected. The Box-Ljung test for the model gives a p-value of 0,14. We can therefore choose not to reject the null-hypothesis of independent distributions of the error term.
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