Mean Equation | ||||
Variables | Coefficient | Std. Error | z-Statistic | Probability |
DLIPI | −0.0369 | 0.0603 | −0.6128 | 0.5400 |
DLINT | −0.2606 | 1.1484 | −0.2269 | 0.8205 |
DLCPI | 1.1277* | 0.3442 | 3.2758 | 0.0011 |
DLEXR | −0.7049* | 0.3249 | −2.1696 | 0.0300 |
DLM2 | 1.4038* | 0.2299 | 6.1049 | 0.0000 |
DLGDPRICE | 0.1014** | 0.0596 | 1.7021 | 0.0887 |
Constant | −0.0077** | 0.0043 | −1.7931 | 0.0730 |
Variance Equation | ||||
ω (Constant) | 1.82E−05 | 0.0137 | 0.0013 | 0.9989 |
α (ARCH effect) | −0.0665* | 0.0131 | −5.0913 | 0.0000 |
γ (asymmetry effect) | 0.1513* | 0.0171 | 8.8658 | 0.0000 |
β (GARCH effect) | 0.9889* | 0.0000 | 26729.38 | 0.0000 |
α + β | 0.9224 |
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Diagnostic Test | ||||
Heteroskedasticity Test: ARCH LM Test | ||||
F Statistics | 0.202596 | Probability of F Statistics | 0.6530 | |
Prob. Chi-squared | 0.6751 |