Mean Equation

Conditional Variance Equation

Variable

Coefficient

Variable

Coefficient

Const.

0.68*

(0.01)

Const.

0.57*

(0.00)

GARCH

−0.08**

(0.05)

${\epsilon }_{t-1}^2$

0.05*

(0.00)

Y_t−1

−0.15*

(0.00)

${\epsilon }_{t-2}^2$

−0.16*

(0.00)

Y_t−2

−0.10**

(0.02)

h_t−1

0.68*

(0.00)

Y_t−3

−0.10*

(0.01)

h_t−2

0.33*

(0.00)

Y_t−4

−0.21*

(0.00)

Y_t−1

−0.34*

(0.00)

Y_t−5

0.04

(0.39)

Y_t−6

−0.24*

(0.00)

Y_t−7

−0.07***

(0.09)

Y_t−8

−0.06

(0.13)

Y_t−9

−0.08***

(0.07)

Y_t−10

−0.27*

(0.00)

Y_t−11

0.01

(0.65)

Y_t−12

0.54*

(0.00)