Dependent Variable: LOG(M) |
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Method: ML-ARCH |
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Date: 10/16/12 Time: 20:53 |
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Sample (adjusted): 1/06/2012 9/07/2012 |
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Included observations: 176 after adjustments |
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Convergence achieved after 48 iterations |
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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 |
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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 |
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