Arch 1 garch 0

Dependent Variable: RDEP

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 06/15/13 Time: 16:26
Sample (adjusted): 1998Q1 2010Q2
Included observations: 50 after adjustments
Convergence achieved after 49 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
RSBI
LNIHK

37.33012
0.741385
-7.439010

3.117700
0.056361
0.576266

11.97361
13.15415
-12.90899

0.0000
0.0000
0.0000

0.558160
3.371774

0.5767
0.0007

Variance Equation
C
RESID(-1)^2
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.043777
1.639508
0.775139
0.755151
4.946810
1101.192
-106.9449
38.78087
0.000000

0.078432
0.486245

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.92667
9.997149
4.477796
4.668998
4.550607
1.186659

arch 0 garch 1
Dependent Variable: RDEP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 06/15/13 Time: 16:28
Sample (adjusted): 1998Q1 2010Q2
Included observations: 50 after adjustments
Convergence achieved after 35 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
RSBI
LNIHK

-1.883555
0.955463
0.501150

5.534269
0.056451
1.119082

-0.340344
16.92564
0.447823

0.7336
0.0000
0.6543

2.379018
14.70566

0.0174
0.0000

Variance Equation
C
GARCH(-1)
R-squared
Adjusted R-squared

0.431973
0.723170
0.725214
0.700788

0.181576
0.049176

Mean dependent var

S.D. dependent var

13.92667
9.997149

S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

5.468465
1345.685
-105.4136
29.69091
0.000000

Akaike info criterion

Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.416545
4.607747
4.489356
1.458598

Arch 1garch 1
Dependent Variable: RDEP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 06/15/13 Time: 16:29
Sample (adjusted): 1998Q1 2010Q2
Included observations: 50 after adjustments
Convergence achieved after 66 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
RSBI
LNIHK

-9.184964
0.918583
2.127614

3.551969
0.043697
0.671176

-2.585880
21.02182
3.169978

0.0097
0.0000
0.0015

0.597951
1.998146
2.306220

0.5499
0.0457
0.0211

Variance Equation
C
RESID(-1)^2
GARCH(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.074773
1.040610
0.187717
0.747708
0.719038
5.299071
1235.527
-99.47804
26.08020
0.000000

0.125049
0.520787
0.081396

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.92667
9.997149
4.219121
4.448564
4.306495
1.490689

Arch 2 garch 1
Dependent Variable: RDEP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 06/15/13 Time: 16:30
Sample (adjusted): 1998Q1 2010Q2
Included observations: 50 after adjustments
Failure to improve Likelihood after 168 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2 + C(7)*GARCH(-1)

Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
LNIHK
RSBI

3.161973
-0.582542
0.862657

2.891990
0.551436
0.040195

1.093355
-1.056408
21.46185

0.2742
0.2908
0.0000

1.221325
2.345279
2.025051
-1.368105

0.2220
0.0190
0.0429
0.1713

Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.287785
0.894961
0.645188
-0.249836
0.761835
0.728603
5.208091
1166.341
-98.17837
22.92457
0.000000

0.235633
0.381601
0.318604
0.182614

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.92667
9.997149
4.207135
4.474818
4.309070
1.415992

Arch 1 garch 2
Dependent Variable: RDEP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 06/15/13 Time: 16:31
Sample (adjusted): 1998Q1 2010Q2
Included observations: 50 after adjustments
Convergence achieved after 72 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*GARCH(-2)
Variable

Coefficient

Std. Error

z-Statistic

Prob.

C
RSBI
LNIHK

6.364002
0.799377
-1.108961

3.096719
0.050619
0.584393

2.055079
15.79192
-1.897629

0.0399
0.0000
0.0577

1.704904
2.264189
2.572989
-1.380516

0.0882
0.0236
0.0101
0.1674

Variance Equation
C
RESID(-1)^2
GARCH(-1)
GARCH(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.252445
1.029306
0.282778
-0.084483
0.781362
0.750854
4.990031
1070.717
-98.95136
25.61196
0.000000

0.148070
0.454603
0.109902
0.061197

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

13.92667
9.997149
4.238055
4.505738
4.339990
1.367578