Variable

Coefficient

Std. Error

Z-Statistic

Φ

1.540

3.739

0.411

lnP_t−1 Variance Equation

0.949***

0.018

52.420

Φ

22.809***

3.945

5.781

ARCH (−1)

−0.119***

0.0014

−84.970

GARCH (−1)

1.184***

0.0025

480.883

R-squared

0.963

Akaike info criterion

9.419

Adjusted R-squared

0.962

Durbin-Watson stat

1.893