Variable

Coefficient

Std. Error

z-Statistic

Prob.

L₂ (−1)

0.525292

0.002537

207.0191

0.0000

Variance Equation

C

0.000909

0.011629

0.078184

0.9377

RESID (−1)²

0.877909

6.398715

0.137201

0.8909

RESID (−1)²*(RESID (−1) < 0)

0.679066

8.016084

0.084713

0.9325

GARCH (−1)

1.193325

0.008879

134.3935

0.0000

GED PARAMETER

0.017480

7.21E−05

242.4975

0.0000

R-squared

0.351720

Mean dependent var

−0.000394

Adjusted R-squared

0.351720

S.D. dependent var

0.058029

S.E. of regression

0.046722

Akaike info criterion

−9.226437

Sum squared resid

0.275055

Schwarz criterion

−9.092066

Log likelihood

591.8788

Hannan-Quinn criter.

−9.171844

Durbin-Watson stat

1.816074