GARCH = C(9) + C(10) * RESID(−1)^2 + C(11) * GARCH(−1) | |||||
Variable | Coefficien... | Std.Error | z-Statistic | Prob. | |
C | 0.016098 | 0.024645 | 0.653198 | 0.5136 | |
X(−4) | −2.979228 | 2.419876 | −1.231149 | 0.2183 | |
X(−8) | 7.843263 | 2.739426 | 2.863104 | 0.0042 | |
AR(1) | −0.694831 | 0.284043 | −2.446214 | 0.0144 | |
AR(4) | 0.003986 | 0.306994 | −0.012985 | 0.9896 | |
MA(1) | 0.722414 | 0.277123 | 2.606834 | 0.0091 | |
MA(4) | 0.035556 | 0.304910 | 0.116612 | 0.9072 | |
MA(6) | 0.042787 | 0.024397 | −1.753757 | 0.0795 | |
Variance Equation | |||||
C | 0.006743 | 0.001702 | 3.960632 | 0.0001 | |
RESID(−1)^2 | 0.063751 | 0.005774 | 11.04165 | 0.0000 | |
GARCH(−1) | 0.935288 | 0.004991 | 187.3812 | 0.0000 | |
R-squared | 0.017034 | Mean dependent var | 0.014228 | ||
Adjusted R-squared | 0.012800 | S.D.dependent var | 1.433636 | ||
S.E.of regression | 1.424431 | Akaike info criterion | 3.131218 | ||
Sum squared resid | 3297.133 | Schwarz criterion | 3.167581 | ||
Log likelihood | −2545.640 | Hannan-Quinn criter | 3.144707 | ||
Durbin-Watson stat | 1.939084 |
| |||
Inverted AR Roots | 0.09 + 0.14i | 0.09 − 0.14i | −0.20 | −0.68 | |
Inverted MA Roots | 0.49 | 0.23 − 0.49i | 0.23 + 0.49i | −0.44 + 0.42i | |
−0.44 − 0.42i | −0.79 |