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 |
|
| |
| 0.025843 | 0.010061 | 2.568599 | 0.0102 |
| 0.102529 | 0.012714 | 8.064075 | 0.0000 |
| −0.085770 | 0.019019 | −4.509709 | 0.0000 |
| 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 |
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