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

Diagnostic Test

Heteroskedasticity Test: ARCH LM Test

F Statistics

0.202596

Probability of F Statistics

0.6530

Prob. Chi-squared

0.6751