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ARFIMA(p,d,q)

(0,0,2)

(5,0,2)

(4,0,3)

(0,0,2)

(4,0,5)

Mu

0.0016

0.0016

−0.0007

0.0006

0.0000

Ar1

0.8072

−2.0801

1.7149

Ar2

0.1815

−2.1549

−1.2856

Ar3

−0.0306

−1.1547

0.4075

Ar4

−0.0028

−0.0955

0.1123

Ar5

0.0195

Ma1

−0.1061

−0.9235

2.0099

−0.1044

−2.1258

Ma2

0.0042

−0.0430

2.0204

0.0293

1.8624

Ma3

1.0001

−0.7519

Ma4

−0.0848

Ma5

0.1075

Omega

−0.1162

−0.3122

−0.3192

−0.1606

−0.1794

Alpha

0.0291

0.0132

−0.0201

0.0233

−0.0308

Beta

0.9827

0.9469

0.9438

0.9727

0.9855

Gamma

0.2214

0.2322

0.1949

0.2213

0.3546

Skew

0.9999

1.0474

0.9780

0.9913

1.0213

Shape

0.8246

0.8933

1.0407

0.9678

0.8971

Log-Likelihood

3871.1180

2932.0530

1706.6890

1930.2270

6756.6570

Akaike

−4.0977

−3.2137

−2.9311

−3.1835

−9.5274

Bayes

−4.0713

−3.1713

−2.8698

−3.1455

−9.4680

Shibata

−4.0978

−3.2138

−2.9314

−3.1836

−9.5277

Hannan-Quinn

−4.0880

−3.1981

−2.9080

−3.1692

−9.5052

ARCH(5)

1.8384

5.0727

1.6356

7.5175

0.3391

(0.5081)

(0.0989)

(0.5574)

(0.0262)

(0.9297)

Ljung-Box

0.0551

0.1718

0.0057

0.2705

0.3087

(0.8144)

(0.6785)

(0.9396)

(0.6030)

(0.5785)

Nyblom

3.2989

2.3118

1.4958

1.7605

4.3008

Sign Bias

1.1766

0.9289

0.8062

1.8177

0.6616

(0.2395)

(0.3531)

(0.4203)

(0.0694)

(0.5084)

Goodness Fit

0.0020

0.2039

0.4518

0.0074

0.0090