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 |
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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 |