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