Variable

Model 1

Model 2

Model 3

Model 4

Mean equation

neer (−3)

−0.0216

−0.0866

−0.1431**

−0.1641**

(−0.3003)

(−1.1098)

(−1.9860)

(−2.2905)

ppi

0.5130**

0.7125*

―

―

(2.3860)

(3.7798)

―

―

wcpi

2.6616*

3.0909*

―

―

(4.0999)

(4.7669)

―

―

gdp

―

−0.0052*

―

−0.0029***

―

(−3.9584)

―

(−1.6730)

ecm (−1)

−0.1330*

−0.1468*

−0.1255*

−0.1173*

(−5.7817)

(−5.9502)

(−5.3140)

(−4.8427)

constant

1.4216

1.4549

2.116

2.032

(4.2759)

(4.3389)

(6.3938)

(5.9817)

Variance equation

RESID(−1)^2

0.3553*

0.2532*

0.4056*

0.4144*

(3.1473)

(3.8677)

(3.4670)

(3.0893)

GARCH(−1)

0.4311*

0.4133*

0.4755*

0.4316*

(3.2533)

(3.7182)

(4.1617)

(3.3254)

var neer

―

―

−0.1881***

−0.2027***

―

―

(−1.7393)

(−1.7108)

var neer (−3)

−0.2012*

−0.2583*

―

―

(−3.7842)

(−7.6104)

―

―

Adjusted R-squared

0.2535

0.2848

0.1050

0.1133

Durbin-Waston Statistic

2.3246

2.3587

2.0348

2.0394