Mean Equation | |||||
| Coefficient | Std. Error | z-Statistic | Prob. | |
C | 0.007 | 0.009 | 0.777 | 0.440 | |
AR(2) | −1.148 | 0.043 | −26.795 | 0.000 | |
AR(3) | −0.121 | 0.019 | −6.385 | 0.000 | |
AR(4) | −0.275 | 0.021 | −13.166 | 0.000 | |
AR(5) | −0.247 | 0.038 | −6.567 | 0.000 | |
AR(7) | −0.116 | 0.023 | −5.067 | 0.000 | |
MA(2) | 0.946 | 0.013 | 74.912 | 0.000 | |
SMA(7) | 0.119 | 0.068 | 1.760 | 0.079 | |
| Variance Equation |
|
| ||
C | 0.005 | 0.002 | 1.946 | 0.052 | |
RESID (−1)2 | 0.063 | 0.017 | 3.716 | 0.000 | |
GARCH (−1) | 0.936 | 0.015 | 60.744 | 0.000 | |
Inverted AR Roots* | 0.44−0.49i | 0.44+0.49i | −0.01−0.90i | −0.01+0.90i | |
| −0.11−0.71i | −0.11+0.71i | −0.64 | ||
Inverted MA Roots* | 0.67+0.32i | 0.67−0.32i | 0.16+0.72i | 0.16−0.72i | |