Variable

Coefficient

Std. Error

z-Statistic

Prob.

AR(1)

−0.266744

0.078224

−3.410007

0.0000

AR(2)

−0.312926

0.073357

−4.265780

0.0000

Variance Equation

α 0

9.414443

2.679488

3.513576

0.0000

α 1

−0.524599

0.098770

−5.311333

0.0000

φ 1

−0.775541

0.126619

−6.124994

0.0000

θ 1

0.450156

0.157640

2.855585

0.0000

R-squared

0.192206

Mean dependent var

1.457194

Adjusted R-squared

0.192206

S.D. dependent var

5755.930

S.E. of regression

5173.277

Akaike info criterion

19.68798

Sum squared resid

3.69E+09

Schwarz criterion

19.81525

Log likelihood

−1352.471

Hannan-Quinn criterion

19.20105

Durbin-Watson stat

2.579847

Inverted AR Roots

−0.29