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