Dep. Variable: | y | No. Observations: | 40 | |
Model: | SARIMAX (2, 2, 2) | Log Likelihood | −898.770 | |
AIC | 1807.540 | BIC | 1815.727 | |
HQIC | 1810.453 | |||
Variable | coef | std err | z | P-value |
ar.L1 | −1.1055 | 0.102 | −10.823 | 0.000 |
ar.L2 | −0.3411 | 0.191 | −1.78 | 0.074 |
ma.L1 | 0.1244 | 0.210 | 0.592 | 0.554 |
ma.L2 | −0.8445 | 0.247 | −3.413 | 0.001 |
sigma2 | 2.103e+19 | 5.93e−20 | 3.55e+38 | 0.000 |
Ljung-Box (Q): | 11.77 | Jarque-Bera (JB): | 35.58 | |
Prob (Q): | 1.00 | Prob (JB): | 0.00 | |
Heteroskedasticity (H): | 44.66 | Skew: | 0.63 | |
Prob (H) (two-sided): | 0.00 | Kurtosis: | 7.57 |