| Sample | 1973M02-2013M11 | 1973M02-2013M11 | 1973M02-2013M11 |
|---|---|---|---|
| Sample size | 490 | 490 | 490 |
| Conditional Mean Equation | |||
| Constant | 0.010900 (3.516905) | 0.010654 (3.423197) | 0.010340 (4.422293) |
| Coefficient on Δ (k) | -52.13934 (5.081359) | -52.41460 (5.118920) | -52.77326 (5.125944) |
| Coefficient on Δ (log(RDISP)) | 0.407951 (1.929993) | 0.409207 (1.935600) | 0.410721 (1.942396) |
| Coefficient on Δ (log( DOLLAR )) | -0.188145 (1.180231) | -0.188991 (1.185060) | -0.189857 (1.191137) |
| Coefficient on Δ (log( CPI )) | -0.173186 (0.223177) | ||
| Coefficient on absoluteΔ (log( CPI )) | -0.095853 (0.123633) | ||
| Coefficient on the square of Δ (log( CPI )) | 0.733436 (0.010172) | ||
| Coefficient on the average three laggedΔ (log( MS )) | -0.904526 (3.583844) | -0.904363 (3.583266) | -0.905067 (3.608742) |
| Conditional Variance Equation | |||
| constant | 0.0000595 (2.007861) | 0.0000594 (2.009032) | 0.0000592 (2.012091) |
| RESID(-1)^2 | 0.127511 (4.241274) | 0.127515 (4.252679) | 0.127473 (4.272594) |
| GARCH(-1) | 0.849686 (23.71404) | 0.849749 (23.79004) | 0.849860 (23.92349) |
| Adjusted R-Square | 0.076144 | 0.075953 | 0.075730 |
| Log likelihood | 863.0550 | 863.0352 | 863.0269 |
| Durbin-Watson statistic | 2.055479 | 2.055535 | 2.055796 |
| Akaike Information criterion | -3.485939 | -3.485858 | -3.485824 |
| Schwarz information criterion | -3.408899 | -3.408818 | -3.408784 |
| Hannan-Quinn information criterion | -3.455682 | -3.455602 | -3.455568 |