Parameter estimated

Model testing

(p,dm,q)

(1,0,1)

AIC:-2.307132

0.3572993

(P,dv,Q)

(2,d,1)

AIC:-2.304244

0.3895877

dv

0.300165

0.0000

0.2380653

−0.653418

0.1906

0.6741483

0.669702

0.0011

0.2347658

0.032518

0.4096

0.3792242

1.840505

0.0000

0.6397935

0.000491

0.0005

0.7566594

0.836175

0.0000

ARCH 1-2 test

0.5155

-0.077317

0.0000

ARCH 1-5 test

0.7178

0.627616

0.0004

ARCH 1-10 test

0.6811