Heteroskedasticity Test: ARCH | ||||
F-statistic | 0.110885 | Prob. F (3,498) | 0.9537 | |
Obs * R-squared | 0.335102 | Prob. Chi-Square (3) | 0.9533 | |
Variable | Coefficient | Std. Error | z-Statistic | Prob. |
C | 0.090167 | 0.038666 | 2.331941 | 0.0197 |
AR (1) | 0.021066 | 0.046412 | 0.453901 | 0.6499 |
AR (2) | 0.0043 | 0.047279 | 0.090947 | 0.9275 |
Variance Equation | ||||
C | 0.024159 | 0.004306 | 5.610171 | 0.0000 |
RESID (-1)^2 | 0.023492 | 0.009911 | 2.370151 | 0.0178 |
GARCH (-1) | 0.931664 | 0.009624 | 96.81061 | 0.0000 |
R-squared | −0.004682 | Mean dependent var | 0.064841 | |
Adjusted R-squared | −0.008685 | S.D. dependent var | 0.992593 | |
S.E. of regression | 0.996894 | Akaike info criterion | 2.494602 | |
Sum squared resid | 498.8862 | Schwarz criterion | 2.544795 | |
Log likelihood | −623.887 | Hannan-Quinn criter. | 2.514289 | |
Durbin-Watson stat | 2.249845 |