| Sample | 1959M02-2013M11 | 1960M03-2013M11 | 1960M01-1974M09 | 1974M09-2013M11 |
|---|---|---|---|---|
| Sample size | 658 | 645 | 177 | 470 |
| Conditional Mean Equation | ||||
| Constant | -0.002250 (0.091039) | 0.010429 (0.419404) | -0.329109 (1.630633) | 0.027721 (0.948800) |
| Coefficient on Δ (k) | -57.55116 (5.919235) | -58.49463 (6.027658) | -106.8678 (3.596729) | -50.15454 (3.979532) |
| Coefficient on Δ (log(RDISP)) | 0.492012 (2.506669) | 0.513472 (2.662880) | 1.238019 (3.399841) | 0.434178 (1.913317) |
| Coefficient on the log of the conditional variance | -0.000493 (0.261775) | 0.000108 (0.057974) | -0.026115 (1.640503) | 0.001664 (0.762501) |
| Coefficient on theaverage three lagged Δ (log( MS )) | -0.870980 (3.490217) | |||
| Conditional Variance Equation | ||||
| constant | 0.0000853 (2.087295) | 0.0000741 (2.140414) | 0.00050 (1.870108) | |
| RESID(-1)^2 | 0.119727 (4.101400) | 0.138236 (4.670643) | ||
| GARCH(-1) | 0.838738 (17.57738) | 0.828712 (20.00059) | 0.724423 (5.190936) | |
| Adjusted R-Square | 0.058237 | 0.067644 | 0.158088 | 0.049992 |
| Log likelihood | 1185.084 | 1164.610 | 340.4545 | 812.1475 |
| Durbin-Watson statistic | 2.009189 | 2.028805 | 1.860781 | 2.001107 |
| Akaike Information criterion | -3.580801 | -3.586389 | -3.801745 | -3.430415 |
| Schwarz information criterion | -3.533043 | -3.530956 | -3.729968 | -3.377401 |
| Hannan-Quinn information criterion | -3.562287 | -3.564880 | -3.772635 | -3.409558 |