Dependent Variable: LOG(M)

Method: ML-ARCH

Date: 10/16/12 Time: 20:53

Sample (adjusted): 1/06/2012 9/07/2012

Included observations: 176 after adjustments

Convergence achieved after 48 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(3) + C(4)*RESID(−1)^2 + C(5)*GARCH (−1)

Variable

Coefficient

Std. Error

z-Statistic

Prob.

LOG(M(−1))

−0.132509

0.084716

−1.564158

0.1178

C

−6.261840

0.462132

−13.54988

0.0000

Variance Equation

C

0.335394

0.828737

0.404705

0.6857

RESID (−1)^2

0.046983

0.106879

0.439592

0.6602

GARCH (−1)

0.653347

0.819877

0.796884

0.4255

R-squared

0.019840

Mean dependent var

−5.519431

Adjusted R-squared

−0.003088

S.D. dependent var

1.068801

S.E. of regression

1.070450

Akaike info criterion

2.997634

Sum squared resid

195.9427

Schwarz criterion

3.087704

Log likelihood

−258.7918

Hannan-Quinn criter.

3.034166

F-statistic

0.865321

Durbin-Watson stat

2.041184

Prob (F-statistic)

0.486034