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