| Sample | 1960M03-2013M11 | 1960M03-2013M11 | 1960M03-2013M11 | 1960M03-2013M11 | 1960M03-2013M11 |
|---|---|---|---|---|---|
| Sample size | 645 | 645 | 645 | 645 | 645 |
| Conditional Mean Equation | |||||
| Constant | 0.009330 (3.357484) | 0.009392 (3.856645) | 0.011152 (4.204454) | 0.010966 (4.300682) | 0.010794 (3.769422) |
| Coefficient on Δ (k) | -54.30041 (4.844677) | -57.93669 (6.006794) | -50.99889 (4.301666) | -55.61610 (5.626876) | -55.66469 (5.627213) |
| Coefficient on Δ (log(RDISP)) | 0.617094 (3.042664) | 0.511563 (2.638545) | 0.597931 (2.991092) | 0.495394 (2.564833) | 0.495110 (2.564089) |
| Coefficient on Δ (log(CPI )) | -0.364320 (0.487215) | -0.136211 (0.219542) | |||
| Coefficient on the predicted Δ (log( CPI )) | -0.904306 (1.197264) | -0.681087 (1.020066) | 0.697952 (1.025360) | ||
| Coefficient on the residual of Δ (log( CPI )) | -2.047505 (1.415218) | -1.128097 (0.955703) | -1.127707 (0.951314) | ||
| Coefficient on the absolute value of the residual of Δ (log( CPI )) | 0.213096 (0.166536) | ||||
| Coefficient on the average 3 lagged Δ (log(MS)) | -0.766744 (3.017124) | -0.870243 (3.545438) | -0.780723 (2.921106) | -0.864396 (3.513246) | -0.867843 (3.530020) |
| Conditional Variance Equation | |||||
| constant | 0.0000742 (2.142612) | 0.0000743 (2.122371) | 0.0000743 (2.126372) | ||
| RESID(-1)^2 | 0.138277 (4.641334) | 0.137034 (4.551326) | 0.137237 (4.561186) | ||
| GARCH(-1) | 0.828629 (19.92015) | 0.829500 (19.68682) | 0.829275 (19.71075) | ||
| Adjusted R-Square | 0.068926 | 0.067982 | 0.071548 | 0.069972 | 0.068303 |
| Log likelihood | 1135.765 | 1164.633 | 1137.179 | 1165.307 | 1165.321 |
| Durbin-Watson statistic | 2.028738 | 2.028756 | 2.026901 | 2.026807 | 2.026609 |
| Akaike Information criterion | -3.506249 | -3.586459 | -3.507532 | -3.585449 | -3.582390 |
| Schwarz information criterion | -3.471604 | -3.531026 | -3.465957 | -3.523087 | -3.513099 |
| Hannan-Quinn information criterion | -3.492807 | -3.564950 | -3.491400 | -3.561252 | -3.555504 |