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