SENSEX (−1) | 0.050047 | 0.021099 | 2.372018 | 0.0177 |
Variance Equation | ||||
C | 0.00000266 | 4.86E−07 | 5.473139 | 0.0000 |
RESID (−1)2 | 0.090125 | 0.007557 | 11.92541 | 0.0000 |
GARCH (−1) | 0.898554 | 0.008385 | 107.1577 | 0.0000 |
Method: ML-ARCH (Marquardt)-Normal distribution | ||||
GARCH = C (4) + C (5) × RESID (−1)2 + C (6) × GARCH (−1) | ||||
Variable | Coefficient | Std. Error | z-Statistic | Prob. |
C | 0.000669 | 0.000212 | 3.156594 | 0.0016 |
CRUDE | 0.103232 | 0.009654 | 10.69267 | 0.0000 |