Variable

Coefficient

Std. Error

z-Statistic

Prob.

AR(1)

−0.703686

0.027174

−25.89854

0.0000

AR(2)

−0.357517

0.024887

−14.36541

0.0000

Variance Equation

ω

0.025843

0.010061

2.568599

0.0102

α

0.102529

0.012714

8.064075

0.0000

γ

−0.085770

0.019019

−4.509709

0.0000

β

0.929366

0.011951

77.76738

0.0000

R-squared

0.363932

Mean dependent var

7.45E−05

Adjusted R-squared

0.363457

S.D. dependent var

1.717852

S.E. of regression

1.370565

Akaike info criterion

3.372411

Sum squared resid

2517.119

Schwarz criterion

3.395668

Log likelihood

−2256.888

Hannan-Quinn criter.

3.381123

Durbin-Watson stat

2.206053

Inverted AR Roots

−0.35 + 0.48i

−0.35 - 0.48i