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Intégration financière et diversification

( Télécharger le fichier original )
par Khalil Tichichte
Université du Québec à  Montréal-ESG - Master 2 finances appliquées 2008
  

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B- Prix de risque variable

Estimation des paramètres du modèle BEKK-GARCH

System: SYS1

 
 
 

Estimation Method: ARCH Maximum Likelihood (BHHH)

Covariance specification: BEKK

 
 

Date: 04/20/08 Time: 19:44

 
 

Sample: 1973M02 2007M11

 
 

Included observations: 418

 
 

Total system (balanced) observations 2926

 

Presample covariance: backcast (parameter =0.7)

 

Failure to improve Likelihood after 23 iterations

 
 
 
 
 
 
 
 
 
 
 

Coefficient

Std. Error

z-Statistic

Prob.

 
 
 
 
 
 
 
 
 
 

C(1)

0.016708

0.002235

7.475408

0.0000

C(2)

-0.024711

0.003439

-7.186194

0.0000

C(3)

-0.005385

0.001547

-3.481587

0.0005

C(4)

0.021341

0.001693

12.60617

0.0000

C(5)

-0.032200

0.002221

-14.49897

0.0000

C(6)

-0.004306

0.001201

-3.585209

0.0003

C(7)

0.016739

0.004321

3.873913

0.0001

C(8)

-0.023096

0.005158

-4.477758

0.0000

C(9)

-0.006045

0.001377

-4.391571

0.0000

C(10)

0.022033

0.001545

14.25872

0.0000

C(11)

-0.031478

0.001755

-17.93212

0.0000

C(12)

-0.004740

0.000867

-5.468590

0.0000

C(13)

0.014109

0.003693

3.820941

0.0001

C(14)

-0.020239

0.004690

-4.314996

0.0000

C(15)

-0.003213

0.000781

-4.112618

0.0000

C(16)

0.003987

0.008057

0.494860

0.6207

C(17)

0.000299

0.007553

0.039621

0.9684

C(18)

0.001283

0.005623

0.228133

0.8195

C(19)

0.042399

0.325022

0.130451

0.8962

C(20)

-0.060518

0.400959

-0.150933

0.8800

C(21)

0.044261

0.332296

0.133196

0.8940

 
 
 
 
 
 
 
 
 
 
 

Variance Equation Coefficients

 
 
 
 
 
 
 
 
 
 
 

C(22)

0.003697

0.001000

3.696788

0.0002

C(23)

0.004976

0.000984

5.059084

0.0000

C(24)

0.022125

0.009984

2.216043

0.0267

C(25)

0.008838

0.002213

3.993863

0.0001

C(26)

0.019317

0.008531

2.264282

0.0236

C(27)

0.002767

0.007776

0.355839

0.7220

C(28)

-0.029758

0.752044

-0.039570

0.9684

C(29)

0.000891

0.001706

0.522585

0.6013

C(30)

-0.000528

0.027849

-0.018957

0.9849

C(31)

0.001379

0.006067

0.227209

0.8203

C(32)

-0.000774

0.024594

-0.031457

0.9749

C(33)

0.005262

0.019218

0.273829

0.7842

C(34)

0.107981

2.147716

0.050277

0.9599

C(35)

-0.001856

0.092870

-0.019990

0.9841

 

C(36)

9.87E-06

0.028884

0.000342

0.9997

C(37)

-0.002439

0.043296

-0.056327

0.9551

C(38)

0.007761

0.303303

0.025589

0.9796

C(39)

-0.059455

10.83563

-0.005487

0.9956

C(40)

-0.000499

0.010245

-0.048727

0.9611

C(41)

-5.15E-05

0.048306

-0.001066

0.9991

C(42)

-0.003400

0.347586

-0.009781

0.9922

C(43)

-0.123692

9.393591

-0.013168

0.9895

C(44)

-0.001707

0.020464

-0.083397

0.9335

C(45)

-0.005565

0.309051

-0.018008

0.9856

C(46)

-0.040225

8.557686

-0.004700

0.9962

C(47)

0.002209

1.356085

0.001629

0.9987

C(48)

0.229787

194.3226

0.001183

0.9991

C(49)

0.081070

565.0702

0.000143

0.9999

C(50)

0.269497

0.025244

10.67568

0.0000

C(51)

0.335319

0.020810

16.11346

0.0000

C(52)

0.151854

0.004729

32.11416

0.0000

C(53)

0.389286

0.020218

19.25468

0.0000

C(54)

0.150499

0.004825

31.18895

0.0000

C(55)

0.134955

0.067778

1.991140

0.0465

C(56)

0.189706

1.578716

0.120165

0.9044

C(57)

0.951304

0.007019

135.5292

0.0000

C(58)

0.927053

0.006378

145.3537

0.0000

C(59)

0.755549

0.012755

59.23744

0.0000

C(60)

0.877146

0.008930

98.22338

0.0000

C(61)

0.757903

0.012734

59.51992

0.0000

C(62)

0.932814

0.054357

17.16098

0.0000

C(63)

0.588171

1.297752

0.453223

0.6504

 
 
 
 
 
 
 
 
 
 
 

Log likelihood

5934.298

Schwarz criterion

-27.48412

Avg. log likelihood

2.028126

Hannan-Quinn criter.

-27.85189

Akaike info criterion

-28.09233

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Equation: FRANCE1=C(1)+C(2)*SF+C(3)*TF

 

R-squared

0.240715

Mean dependent var

0.003855

Adjusted R-squared

0.237056

S.D. dependent var

0.026746

S.E. of regression

0.023362

Sum squared resid

0.226492

Prob(F-statistic)

1.880962

 
 
 
 
 
 
 
 

Equation: GB1=C(4)+C(5)*SG+C(6)*TG

 

R-squared

0.272368

Mean dependent var

0.004220

Adjusted R-squared

0.268862

S.D. dependent var

0.031179

S.E. of regression

0.026660

Sum squared resid

0.294965

Prob(F-statistic)

1.923241

 
 
 
 
 
 
 
 

Equation: H_KONG1=C(7)+C(8)*SH+C(9)*TH

 

R-squared

0.132255

Mean dependent var

0.004722

Adjusted R-squared

0.128073

S.D. dependent var

0.035060

S.E. of regression

0.032738

Sum squared resid

0.444790

Prob(F-statistic)

1.978393

 
 
 
 
 
 
 
 

Equation: JAPAN1=C(10)+C(11)*SJ+C(12)*TJ

 

R-squared

0.241878

Mean dependent var

0.004436

Adjusted R-squared

0.238225

S.D. dependent var

0.032453

S.E. of regression

0.028325

Sum squared resid

0.332951

Prob(F-statistic)

1.975270

 
 
 
 
 
 
 
 

Equation: SINGAPOUR1=C(13)+C(14)*SSIG+C(15)*TSIG

R-squared

0.128360

Mean dependent var

0.004135

Adjusted R-squared

0.124160

S.D. dependent var

0.030696

S.E. of regression

0.028727

Sum squared resid

0.342473

Prob(F-statistic)

1.962144

 
 
 
 
 
 
 
 

Equation: USA1=C(16)+C(17)*SU+C(18)*TU

 

R-squared

-0.006944

Mean dependent var

0.004502

Adjusted R-squared

-0.011796

S.D. dependent var

0.032891

S.E. of regression

0.033085

Sum squared resid

0.454264

Prob(F-statistic)

1.914170

 
 
 
 
 
 
 
 

Equation: MONDE1=C(19)+C(20)*SM+C(21)*TM

 

R-squared

0.125155

Mean dependent var

0.005980

Adjusted R-squared

0.120939

S.D. dependent var

0.045706

S.E. of regression

0.042853

Sum squared resid

0.762111

Prob(F-statistic)

1.818637

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Covariance specification: BEKK

 
 

GARCH = M + A1*RESID(-1)*RESID(-1)'*A1 + B1*GARCH(-1)*B1

M is a full rank matrix

 
 

A1 is diagonal matrix

 
 

B1 is diagonal matrix

 
 
 
 
 
 
 
 
 
 
 
 
 

Tranformed Variance Coefficients

 
 
 
 
 
 
 
 
 
 
 

Coefficient

Std. Error

z-Statistic

Prob.

 
 
 
 
 
 
 
 
 
 

M(1,1)

1.37E-05

7.39E-06

1.848394

0.0645

M(1,2)

1.84E-05

7.52E-06

2.446508

0.0144

M(1,3)

8.18E-05

4.77E-05

1.714329

0.0865

M(1,4)

3.27E-05

1.29E-05

2.526041

0.0115

M(1,5)

7.14E-05

4.07E-05

1.755190

0.0792

M(1,6)

1.02E-05

2.68E-05

0.381806

0.7026

M(1,7)

-0.000110

0.002791

-0.039423

0.9686

M(2,2)

2.56E-05

9.25E-06

2.763640

0.0057

M(2,3)

0.000110

5.38E-05

2.038768

0.0415

M(2,4)

4.52E-05

1.51E-05

2.988112

0.0028

M(2,5)

9.54E-05

4.60E-05

2.074650

0.0380

M(2,6)

1.85E-05

2.61E-05

0.707142

0.4795

M(2,7)

-5.18E-05

0.002833

-0.018291

0.9854

M(3,3)

0.000493

0.000331

1.491269

0.1359

M(3,4)

0.000195

9.45E-05

2.062421

0.0392

M(3,5)

0.000432

0.000286

1.514255

0.1300

M(3,6)

4.40E-05

0.000191

0.230534

0.8177

M(3,7)

-0.000605

0.008361

-0.072369

0.9423

M(4,4)

8.03E-05

2.75E-05

2.920092

0.0035

M(4,5)

0.000170

8.09E-05

2.097151

0.0360

M(4,6)

3.35E-05

4.43E-05

0.756082

0.4496

M(4,7)

-5.30E-05

0.003561

-0.014876

0.9881

M(5,5)

0.000383

0.000248

1.543795

0.1226

M(5,6)

4.01E-05

0.000164

0.245334

0.8062

M(5,7)

-0.000438

0.007289

-0.060138

0.9520

M(6,6)

0.000143

0.000165

0.864227

0.3875

M(6,7)

0.001176

0.008938

0.131612

0.8953

M(7,7)

0.092372

0.244655

0.377561

0.7058

A1(1,1)

0.269497

0.025244

10.67568

0.0000

A1(2,2)

0.335319

0.020810

16.11346

0.0000

A1(3,3)

0.151854

0.004729

32.11416

0.0000

A1(4,4)

0.389286

0.020218

19.25468

0.0000

A1(5,5)

0.150499

0.004825

31.18895

0.0000

A1(6,6)

0.134955

0.067778

1.991140

0.0465

A1(7,7)

0.189706

1.578716

0.120165

0.9044

B1(1,1)

0.951304

0.007019

135.5292

0.0000

B1(2,2)

0.927053

0.006378

145.3537

0.0000

B1(3,3)

0.755549

0.012755

59.23744

0.0000

B1(4,4)

0.877146

0.008930

98.22338

0.0000

B1(5,5)

0.757903

0.012734

59.51992

0.0000

B1(6,6)

0.932814

0.054357

17.16098

0.0000

B1(7,7)

0.588171

1.297752

0.453223

0.6504

 
 
 
 
 
 
 
 
 
 

Test de wald Variante 1

 
 
 
 
 
 
 
 

df

Probability

 
 

Wald Test:

System: SYS4

 
 

Test Statistic

Value

 
 
 
 

Chi-square

3.74541

6

0.7519

Variante 2

 
 
 
 
 
 
 
 

df

Probability

 
 

Wald Test:

Value

System: SYS4

Test Statistic

Chi-square

8.94154

6

0.7519

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Bitcoin is a swarm of cyber hornets serving the goddess of wisdom, feeding on the fire of truth, exponentially growing ever smarter, faster, and stronger behind a wall of encrypted energy








"Enrichissons-nous de nos différences mutuelles "   Paul Valery