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 |
|
| |
| 9.414443 | 2.679488 | 3.513576 | 0.0000 |
| −0.524599 | 0.098770 | −5.311333 | 0.0000 |
| −0.775541 | 0.126619 | −6.124994 | 0.0000 |
| 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 |
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