GARCH = C(7) + C(8) * RESID(−1)^2 + C(9) * GARCH(−1) | |||||
Variable | Coefficien... | Std.Error | z-Statistic | Prob. | |
C | 0.022924 | 0.023941 | 0.957506 | 0.3383 | |
AR(1) | −0.405982 | 0.010532 | −38.545660 | 0.0000 | |
AR(4) | −0.711142 | 0.010143 | −70.11235 | 0.0000 | |
MA(1) | 0.447706 | 0.021530 | 20.79411 | 0.0000 | |
MA(4) | 0.716766 | 0.009450 | 75.84843 | 0.0000 | |
MA(6) | −0.051315 | 0.017636 | −2.909747 | 0.0036 | |
Variance Equation | |||||
C | 0.007187 | 0.001847 | 3.890853 | 0.0001 | |
RESID(−1)^2 | 0.065276 | 0.005791 | 11.27270 | 0.0000 | |
GARCH(−1) | 0.933587 | 0.005106 | 182.8359 | 0.0000 | |
R-squared | 0.008351 | Mean dependent var | 0.015023 | ||
Adjusted R-squared | 0.005318 | S.D.dependent var | 1.433028 | ||
S.E.of regression | 1.429212 | Akaike info criterion | 3.131509 | ||
Sum squared resid | 3339.729 | Schwarz criterion | 3.161142 | ||
Log likelihood | −2560.403 | Hannan-Quinn criter | 3.142499 | ||
Durbin-Watson stat | 1.974143 |
| |||
Inverted AR Roots | 0.56−0.64i | 0.56 + 0.64i | −0.76 + 0.63i | −0.76 − 0.63i | |
Inverted MA Roots | 0.54 − 0.66i | 0.54 + 0.66i | 0.27 | −0.27 | |
−0.76 + 0.64i | −0.76 − 0.64i |