Variable

Coefficient

Std. Error

t-Statistic

Prob.

AR(1)

0.124123

0.068902

1.801455

0.0744

AR(2)

0.475486

0.069742

6.817791

0.0000

AR(3)

0.479315

0.061410

7.805100

0.0000

AR(4)

−0.564442

0.063236

−8.925930

0.0000

MA(1)

−0.319742

0.018708

−17.09109

0.0000

MA(2)

−0.536473

0.030100

−17.82320

0.0000

MA(3)

−0.318432

0.019858

−16.03577

0.0000

MA(4)

0.968683

0.011388

85.05812

0.0000

SMA(12)

−0.887606

0.022645

−39.19585

0.0000

R-squared

0.594513

Mean dependent var

0.000578

Adjusted R-squared

0.564752

S.D. dependent var

0.022935

S.E. of regression

0.015131

Akaike info criterion

−5.470924

Sum squared resid

0.024956

Schwarz criterion

−5.259601

Log likelihood

331.7845

Hannan-Quinn criter.

−5.385120

Durbin-Watson stat

2.061025

Inverted AR Roots

0.74 − 0.29i

0.74 + 0.29i

−0.68 + 0.66i

−0.68 − 0.66i

Inverted MA Roots

0.99

0.88 − 0.47i

0.88 + 0.47i

0.86 − 0.50i

0.86 + 0.50i

0.50 − 0.86i

0.50 + 0.86i

0.00 + 0.99i

−0.00 − 0.99i

−0.50 + 0.86i

−0.50 − 0.86i

−0.72 + 0.69i

−0.72 − 0.69i

−0.86 + 0.50i

−0.86 − 0.50i

−0.99