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Dependent Variable: R
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Method: ML - ARCH (Marquardt) - Generalized error distribution
(GED)
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Date: 12/13/12 Time: 12:46
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Sample (adjusted): 1 515
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Included observations: 515 after adjustments
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Convergence achieved after 37 iterations
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Presample variance: backcast (parameter = 0.7)
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GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*D_ARMS1
+
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C(8)*D_ARMS2
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Variable
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Coefficient
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Std. Error
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z-Statistic
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Prob.
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@SQRT(GARCH)
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3.927422
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0.789013
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4.977641
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0.0000
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C
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-0.112866
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0.020834
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-5.417449
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0.0000
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DARMS
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-0.080989
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0.039858
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-2.031939
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0.0422
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Variance Equation
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C
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6.13E-07
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1.35E-06
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0.454222
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0.6497
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RESID(-1)^2
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0.009185
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0.002448
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3.752843
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0.0002
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GARCH(-1)
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0.990218
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0.001805
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548.5897
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0.0000
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D_ARMS1
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1.27E-06
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2.94E-07
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4.317550
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0.0000
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D_ARMS2
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-2.30E-06
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7.59E-07
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-3.030629
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0.0024
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GED PARAMETER
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1.114063
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0.086462
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12.88507
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0.0000
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R-squared
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0.330500
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Mean dependent var
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-0.018178
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Adjusted R-squared
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0.327885
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S.D. dependent var
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0.026614
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S.E. of regression
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0.021819
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Akaike info criterion
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-4.865986
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Sum squared resid
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0.243743
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Schwarz criterion
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-4.791817
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Log likelihood
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1261.992
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Hannan-Quinn criter.
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-4.836919
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Durbin-Watson stat
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1.882561
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