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
|