Escolar Documentos
Profissional Documentos
Cultura Documentos
Report by:
Mohar Sen, QE1201
Data
Data analyzed Unadjusted closing price of S&P 500
Methodology
Stationarity
Analysis
Conditional
mean
Box-Jenkins analysis
Estimation
Information criteria
finalizing
specification
Residual diagnostics
Volatility analysis
Conclusion
ARCH test
ARCH/GARCH model
fitting
Information criteria
finalizing
specification
Residual diagnostics
Final specification of
the model
Recommendation, if
any
Observations
1,600
Uneven trend
Non-Stationary data
1,200
800
400
0
55
60
65
70
75
80
85
90
95
00
05
10
Dependent Variable: P
Method: Least Squares
Date: 12/11/13 Time: 11:32
Sample: 1/03/1950 12/09/2013
Included observations: 16088
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
@TREND
-307.2818
0.092369
3.871625
0.000417
-79.36765
221.5926
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.753242
0.753226
245.5470
9.70E+08
-111367.0
49103.29
0.000000
435.6903
494.2939
13.84498
13.84593
13.84529
0.000960
Coefficient
-0.000213
-0.065128
-0.042691
-0.017087
-0.009753
-0.038168
-0.012548
-0.030904
0.007349
-0.004196
0.032448
-0.011639
0.048758
0.021209
-0.019073
-0.024191
0.027656
0.018294
-0.047570
0.008477
8.17E-05
-0.046335
-0.145949
4.63E-05
0.020029
0.018624
7.539821
911970.1
-55241.17
14.25548
0.000000
Std. Error
0.000243
0.007889
0.007907
0.007914
0.007906
0.007906
0.007909
0.007907
0.007909
0.007908
0.007898
0.007902
0.007900
0.007909
0.007911
0.007909
0.007911
0.007908
0.007910
0.007918
0.007911
0.007896
0.140840
2.59E-05
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
t-Statistic
-0.874981
-8.255719
-5.399168
-2.159080
-1.233615
-4.827940
-1.586680
-3.908456
0.929223
-0.530685
4.108179
-1.472910
6.172055
2.681615
-2.410950
-3.058820
3.496115
2.313352
-6.014067
1.070654
0.010329
-5.868435
-1.036276
1.790536
Prob.
0.3816
0.0000
0.0000
0.0309
0.2174
0.0000
0.1126
0.0001
0.3528
0.5956
0.0000
0.1408
0.0000
0.0073
0.0159
0.0022
0.0005
0.0207
0.0000
0.2843
0.9918
0.0000
0.3001
0.0734
0.111498
7.611029
6.879767
6.891246
6.883563
1.999061
t-Statistic
Prob.*
-0.874981
-3.958605
-3.410082
-3.126769
0.9572
Observations
P-Value>0.05
Observations
80
Apparently stationary
Conditionally
heteroskedastic
Unit Root test required
for confirmation of
stationarity
40
-40
-80
-120
55
60
65
70
75
80
85
90
95
00
05
10
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Coefficient
-1.208127
0.142840
0.099996
0.082756
0.072855
0.034538
0.021837
-0.009215
-0.002010
-0.006353
0.025942
0.014150
0.062754
0.083808
0.064577
0.040232
0.067737
0.085886
0.038172
0.046510
0.046458
-0.080367
2.67E-05
0.539061
0.538429
7.539766
912013.7
-55241.55
852.8214
0.000000
Std. Error
0.041562
0.040571
0.039534
0.038448
0.037418
0.036323
0.035136
0.033957
0.032778
0.031506
0.030062
0.028576
0.026917
0.025169
0.023271
0.021310
0.019191
0.016976
0.014478
0.011535
0.007894
0.119239
1.29E-05
t-Statistic
-29.06799
3.520791
2.529330
2.152420
1.947064
0.950846
0.621521
-0.271356
-0.061307
-0.201653
0.862927
0.495183
2.331407
3.329787
2.774993
1.887948
3.529544
5.059121
2.636591
4.032085
5.884990
-0.674003
2.074122
Prob.
0.0000
0.0004
0.0114
0.0314
0.0515
0.3417
0.5343
0.7861
0.9511
0.8402
0.3882
0.6205
0.0197
0.0009
0.0055
0.0591
0.0004
0.0000
0.0084
0.0001
0.0000
0.5003
0.0381
0.000204
11.09785
6.879690
6.890691
6.883328
1.999071
t-Statistic
Prob.*
-29.06799
-3.958605
-3.410082
-3.126769
0.0000
Observations
P-Value<<0.05 => Null hypothesis accepted no unit
root in the series dp
It is established that series dp is stationary. We try to
model it as an ARMA(p,q) process by Box Jenkins
method
AC
SQRT(N)*
PAC
PAC
Q-Stat
Prob
lags
AC
SQRT(N)*
PAC
PAC
Q-Stat
Observations
Prob
-0.063
-0.063
-7.99058
64.008
19
0.013
0.01
1.268345
289.88
-0.039
-0.043
-5.45389
87.923
20
0.008
0.003
0.380504
291.04
-0.007
-0.012
-1.52201
88.71
21
-0.048
-0.046
-5.83439
328.79
-0.001
-0.004
-0.50734
88.726
22
0.018
0.01
1.268345
334.3
-0.04
-0.041
-5.20022
114.25
23
0.007
0.004
0.507338
335.19
-0.006
-0.012
-1.52201
114.82
24
0.003
0.004
0.507338
335.36
-0.026
-0.031
-3.93187
125.5
25
-0.01
-0.013
-1.64885
337.03
0.009
0.004
0.507338
126.88
26
-0.009
-0.014
-1.77568
338.43
-0.006
-0.008
-1.01468
127.38
27
0.033
0.035
4.439209
355.86
10
0.034
0.032
4.058705
146.22
28
0.007
0.009
1.141511
356.56
11
-0.02
-0.017
-2.15619
152.52
29
0.019
0.019
2.409856
362.49
12
0.05
0.048
6.088058
192.18
30
0.005
0.013
1.648849
362.84
13
0.019
0.025
3.170863
197.81
31
-0.003
0.006
0.761007
362.99
14
-0.023
-0.017
-2.15619
206.48
32
0.001
-0.002
-0.25367
363
15
-0.029
-0.026
-3.2977
219.8
33
-0.016
-0.014
-1.77568
367.14
16
0.035
0.03
3.805036
239.85
34
-0.066
-0.061
-7.73691
437.2
17
0.014
0.022
2.79036
243.04
35
0.006
-0.004
-0.50734
437.7
18
-0.052
-0.048
-6.08806
287.21
36
0.018
0.009
1.141511
443.17
MA(0)
AR(0)
AIC
6.895772
6.891609
6.890118
SIC
6.896728
6.892565
6.891551
AIC
6.892031
6.889474
6.889569
SIC
6.892986
6.890907
6.891480
AIC
6.890391
6.889632
6.889077
SIC
6.891824
6.891544
6.891466
AR(1)
AR(2)
MA(1)
MA(2)
Observations
ARMA(1,1) appears to be the best
fitted model
The suitability has been in line with
both AIC and SIC
Sufficient data present in the model
so SIC is the best criteria
Observations
As expected, all the terms are significant in
the ARMA(1,1) model
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
AR(1)
MA(1)
0.111277
0.607851
-0.672801
0.049883
0.056980
0.053089
2.230768
10.66776
-12.67311
0.0257
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots
0.006645
0.006522
7.581454
924425.8
-55409.04
53.79525
0.000000
.61
.67
0.111371
7.606298
6.889474
6.890907
6.889948
2.004706
AC
SQRT(N)*
PAC
PAC
Q-Stat
Prob
lags
AC
SQRT(N)*
PAC
PAC
Q-Stat
Observations
Prob
-0.002
-0.002
-0.25366
0.0897
19
0.01
0.011
1.395137
183.19
-0.001
-0.001
-0.12683
0.1221
20
0.006
0.001
0.126831
183.72
0.015
0.015
1.902459
3.5484
0.06
21
-0.047
-0.045
-5.70738
219.54
0.011
0.011
1.395137
5.5919
0.061
22
0.016
0.014
1.775628
223.78
-0.031
-0.031
-3.93175
20.833
23
0.007
0.006
0.760984
224.56
-0.002
-0.003
-0.38049
20.928
24
0.003
0.004
0.507322
224.74
-0.022
-0.022
-2.79027
28.685
25
-0.009
-0.011
-1.39514
226
0.011
0.011
1.395137
30.563
26
-0.007
-0.01
-1.26831
226.81
-0.002
-0.001
-0.12683
30.637
27
0.033
0.037
4.692732
244.66
10
0.036
0.035
4.439071
50.953
28
0.009
0.009
1.141475
245.98
11
-0.014
-0.014
-1.77563
54.261
29
0.02
0.017
2.15612
252.52
12
0.05
0.049
6.214699
95.031
30
0.005
0.009
1.141475
252.99
13
0.02
0.02
2.536612
101.69
31
-0.003
0.002
0.253661
253.18
14
-0.021
-0.021
-2.66344
108.6
32
-0.002
-0.006
-0.76098
253.22
15
-0.027
-0.025
-3.17076
120.08
33
-0.019
-0.018
-2.28295
259.02
16
0.033
0.03
3.804918
137.63
34
-0.066
-0.06
-7.60984
328.79
17
0.012
0.017
2.15612
140.07
35
0.003
0.001
0.126831
328.89
18
-0.051
-0.05
-6.34153
181.63
36
0.017
0.013
1.648798
333.34
AC
SQRT(N)*
PAC
PAC
Q-Stat
Prob
lags
AC
SQRT(N)*
PAC
PAC
Q-Stat
Observations
Prob
0.236
0.236
29.93202
894.26
19
0.209
-0.026
-3.2976
24280
0.387
0.35
44.39071
3298.4
20
0.253
0.03
3.804918
25307
0.243
0.123
15.60016
4251.7
21
0.289
0.105
13.31721
26653
0.297
0.139
17.62945
5671.5
22
0.223
-0.013
-1.6488
27456
0.323
0.189
23.97098
7346.1
23
0.242
-0.004
-0.50732
28402
0.311
0.137
17.37579
8899.2
24
0.191
-0.02
-2.53661
28991
0.303
0.098
12.4294
10377
25
0.209
-0.012
-1.52197
29696
0.295
0.089
11.28792
11777
26
0.205
-0.013
-1.6488
30372
0.283
0.067
8.49765
13068
27
0.276
0.079
10.01962
31600
10
0.311
0.094
11.92208
14621
28
0.233
0.023
2.917104
32474
11
0.307
0.089
11.28792
16138
29
0.214
-0.02
-2.53661
33215
12
0.287
0.045
5.707377
17464
30
0.185
-0.022
-2.79027
33768
13
0.235
-0.027
-3.42443
18356
31
0.194
-0.006
-0.76098
34373
14
0.22
-0.039
-4.94639
19138
32
0.251
0.067
8.49765
35388
15
0.237
0.001
0.126831
20041
33
0.2
-0.005
-0.63415
36032
16
0.271
0.051
6.46836
21225
34
0.232
0.03
3.804918
36902
17
0.269
0.045
5.707377
22387
35
0.169
-0.018
-2.28295
37360
18
0.272
0.047
5.961038
23577
36
0.208
0.013
1.648798
38055
C
RESID^2(-1)
RESID^2(-2)
RESID^2(-3)
RESID^2(-4)
RESID^2(-5)
RESID^2(-6)
RESID^2(-7)
RESID^2(-8)
RESID^2(-9)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Observations
624.6957
4167.458
Coefficient
11.60923
0.013088
0.213112
0.016465
0.062821
0.147233
0.111116
0.080432
0.087330
0.066907
0.259219
0.258804
246.3978
9.75E+08
-111342.5
624.6957
0.000000
Prob. F(9,16067)
Prob. Chi-Square(9)
Std. Error
2.045328
0.007872
0.007842
0.007996
0.007948
0.007879
0.007948
0.007996
0.007842
0.007872
t-Statistic
0.0000
0.0000
Prob.
5.675975
1.662714
27.17408
2.059229
7.903630
18.68761
13.97978
10.05965
11.13558
8.499328
0.0000
0.0964
0.0000
0.0395
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
57.49988
286.2004
13.85239
13.85717
13.85397
2.012623
GARCH(1,1)
Dependent Variable: DP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/11/13 Time: 03:05
Sample (adjusted): 1/05/1950 12/09/2013
Included observations: 16086 after adjustments
Convergence achieved after 32 iterations
MA Backcast: 1/04/1950
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)
Variable
C
AR(1)
MA(1)
Coefficient
Std. Error
0.018850
0.003353
-0.141277
0.075434
0.242258
0.073980
Variance Equation
C
RESID(-1)^2
GARCH(-1)
0.000213
0.066426
0.939441
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
Inverted MA Roots
Observations
-0.022203
-0.022330
7.690752
951271.9
-30561.24
2.322505
-.14
-.24
3.29E-05
0.001506
0.001222
z-Statistic
5.622112
-1.872843
3.274633
Prob.
0.0000
0.0611
0.0011
6.465720
44.10476
768.9159
0.0000
0.0000
0.0000
0.111371
7.606298
3.800477
3.803344
3.801425
GARCH(1,2)
Dependent Variable: DP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/11/13 Time: 03:12
Sample (adjusted): 1/05/1950 12/09/2013
Included observations: 16086 after adjustments
Convergence achieved after 33 iterations
MA Backcast: 1/04/1950
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
C
AR(1)
MA(1)
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
Inverted MA Roots
Std. Error
z-Statistic
Prob.
0.019100
0.003404
-0.137936
0.072289
0.242221
0.070576
Variance Equation
5.610811
-1.908117
3.432082
0.0000
0.0564
0.0006
0.000161
0.107198
-0.050822
0.948322
6.145381
24.13017
-9.928459
621.2227
0.0000
0.0000
0.0000
0.0000
-0.023299
-0.023427
7.694877
952292.6
-30545.67
2.328892
-.14
-.24
Observations
2.62E-05
0.004442
0.005119
0.001527
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
0.111371
7.606298
3.798666
3.802010
3.799772
GARCH(2,2)
Dependent Variable: DP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/11/13 Time: 03:19
Sample (adjusted): 1/05/1950 12/09/2013
Included observations: 16086 after adjustments
Convergence achieved after 36 iterations
MA Backcast: 1/04/1950
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*RESID(-2)^2 + C(7)*GARCH(-1) + C(8)*GARCH(-2)
Observations
the coefficients of RESID(-1)^2, RESID(-2)^2,
GARCH(-1) and GARCH(-2) are all significant at
5% level of significance.
Variable
Coefficient
Std. Error
z-Statistic
Prob.
C
AR(1)
MA(1)
0.020273
-0.137986
0.242984
0.003412
0.072567
0.070989
5.940926
-1.901495
3.422855
0.0000
0.0572
0.0006
8.60E-07
0.002502
0.002442
0.006706
0.006578
5.000378
34.00018
-34.23010
279.0638
-132.6706
0.0000
0.0000
0.0000
0.0000
0.0000
Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)
GARCH(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
Inverted MA Roots
4.30E-06
0.085055
-0.083594
1.871332
-0.872703
-0.023536
-0.023663
7.695767
952512.9
-30512.79
2.330303
-.14
-.24
0.111371
7.606298
3.794703
3.798525
3.795967
GARCH(2,3)
Dependent Variable: DP
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/11/13 Time: 12:23
Sample (adjusted): 1/05/1950 12/09/2013
Included observations: 16086 after adjustments
Convergence achieved after 179 iterations
MA Backcast: 1/04/1950
Presample variance: backcast (parameter = 0.7)
Observations
the coefficients of RESID(-1)^2, RESID(-2)^2,
RESID(-3)^2, GARCH(-1) and GARCH(-2) are all
significant at 5% level of significance.
Coefficient
C
AR(1)
MA(1)
C
RESID(-1)^2
RESID(-2)^2
RESID(-3)^2
GARCH(-1)
GARCH(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
Inverted AR Roots
Inverted MA Roots
-.14
-.25
Std. Error
z-Statistic
Prob.
0.019824
0.003325
-0.142799
0.071582
0.248253
0.069856
Variance Equation
1.95E-06
4.27E-07
0.103399
0.004377
-0.133792
0.009751
0.031082
0.005770
1.904230
0.005893
-0.904878
0.005823
-0.023694 Mean dependent var
-0.023822 S.D. dependent var
7.696361 Akaike info criterion
952660.1 Schwarz criterion
-30508.72 Hannan-Quinn criter.
2.331385
5.962788
-1.994902
3.553797
0.0000
0.0461
0.0004
4.569525
23.62315
-13.72090
5.386980
323.1577
-155.4076
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.111371
7.606298
3.794321
3.798621
3.795743
AIC
BIC
GARCH(1,1)
3.800477
3.803344
GARCH(1,2)
3.798666
3.802010
GARCH(1,3)
3.798186
3.802009
GARCH(2,1)
3.800477
3.802872
GARCH(2,2)
3.794703
3.798525
GARCH(2,3)
3.794321
3.798621
GARCH (3,1)
3.798906
3.802729
GARCH(3,2)
3.799317
3.803617
GARCH(3,3)
3.799790
3.804568
Observations
GARCH (2,3)
Estimation
Variable
C
AR(1)
MA(1)
C
RESID(-1)^2
RESID(-2)^2
RESID(-3)^2
GARCH(-1)
GARCH(-2)
Std. Error
0.003325
0.071582
0.069856
Variance Equation
1.95E-06
4.27E-07
0.103399
0.004377
-0.133792
0.009751
0.031082
0.005770
1.904230
0.005893
-0.904878
0.005823
z-Statistic
5.962788
-1.994902
3.553797
4.569525
23.62315
-13.72090
5.386980
323.1577
-155.4076
Prob.
0.0000
0.0461
0.0004
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
R-squared
-0.023694
0.111371
Adjusted R-squared
S.E. of regression
Sum squared resid
-0.023822
7.696361
952660.1
7.606298
3.794321
3.798621
Log likelihood
Durbin-Watson stat
-30508.72
2.331385
Hannan-Quinn criter.
3.795743
lags
AC
SQRT(N)*
PAC
Q-Stat
PAC
lags
Prob
AC
SQRT(N)*
PAC
Q-Stat
PAC
Prob
0.01
0.01 1.268306
1.5477
19
0.003
0.003 0.380492
25.131
0.092
0.002
0.002 0.253661
1.5945
20
0.005
0.004 0.507322
25.486
0.112
-0.006
-0.006 -0.76098
26.126
0.127
0.015
1.5952
0.207
21
0.015 1.902459
5.2146
0.074
22
-0.01
-0.01 -1.26831
27.786
0.115
-0.003
-0.004 -0.50732
27.97
0.141
0.012 1.521967
30.601
0.105
-0.004
-0.004 -0.50732
5.4646
0.141
23
-0.014
-0.014 -1.77563
8.698
0.069
24
0.013
-0.003
-0.002 -0.25366
8.8176
0.117
25
-0.013
-0.013
-1.6488
33.45
0.074
0.008
0.008 1.014645
9.9152
0.128
26
-0.016
-0.015 -1.90246
37.473
0.039
0.006
0.007 0.887814
38.039
0.046
-0.003
-0.003 -0.38049
10.031
0.187
27
10
0.018
0.019 2.409781
15.317
0.053
28
0.005
0.004 0.507322
38.424
0.055
11
-0.007
-0.008 -1.01464
16.206
0.063
29
0.008
0.009 1.141475
39.55
0.056
12
0.013
0.013 1.648798
19.079
0.039
30
0.004
13
0.005
0.005 0.634153
19.468
0.053
31
-0.013
14
-0.004
-0.005 -0.63415
15
16
0.005 0.634153
-0.013
39.77
0.069
-1.6488
42.344
0.052
19.747
0.072
32
0.005
0.004 0.507322
42.673
0.063
19.748
0.102
33
0.011
0.011 1.395137
44.582
0.054
0.011
0.011 1.395137
21.735
0.084
34
-0.012
-0.012 -1.52197
46.866
0.044
17
-0.01
-0.011 -1.39514
23.501
0.074
35
-0.007
-0.006 -0.76098
47.736
0.047
18
-0.01
-0.009 -1.14148
25.015
0.07
36
0.001
0.001 0.126831
47.77
0.059
GARCH (2,3)
Estimation
Variable
C
AR(1)
MA(1)
Std. Error
z-Statistic
Prob.
0.020273
-0.137986
0.242984
0.003412
0.072567
0.070989
5.940926
-1.901495
3.422855
0.0000
0.0572
0.0006
Variance Equation
C
RESID(-1)^2
RESID(-2)^2
GARCH(-1)
GARCH(-2)
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
4.30E-06
0.085055
-0.083594
1.871332
-0.872703
-0.023536
-0.023663
7.695767
952512.9
-30512.79
2.330303
8.60E-07
0.002502
0.002442
0.006706
0.006578
5.000378
34.00018
-34.23010
279.0638
-132.6706
0.0000
0.0000
0.0000
0.0000
0.0000
0.111371
7.606298
3.794703
3.798525
3.795967
lags
AC
SQRT(N)*
PAC
Q-Stat
PAC
Lags
Prob
AC
0.01
0.01 1.268306
1.5963
19
0.001
0.001 0.126831
1.6214
20
1.6214
0.203
21
SQRT(N)*
PAC
Q-Stat
PAC
0.002
Prob
0.003 0.380492
24.605
0.104
0.005
0.004 0.507322
24.978
0.126
-0.006
-0.006 -0.76098
25.604
0.142
0.014
0.014 1.775628
4.9305
0.085
22
-0.01
-0.01 -1.26831
27.214
0.129
-0.004
-0.004 -0.50732
5.1411
0.162
23
-0.003
-0.004 -0.50732
27.395
0.158
-0.014
-0.014 -1.77563
8.5074
0.075
24
0.013
0.013 1.648798
30.322
0.111
-0.003
-0.003 -0.38049
8.6544
0.124
25
-0.014
-0.014 -1.77563
33.438
0.074
0.008
0.008 1.014645
9.6626
0.14
26
-0.016
-0.016 -2.02929
37.617
0.038
-0.002
-0.002 -0.25366
9.7411
0.204
27
0.006
0.007 0.887814
38.194
0.044
10
0.018
0.018 2.282951
14.693
0.065
28
0.005
0.004 0.507322
38.651
0.053
11
-0.007
-0.008 -1.01464
15.589
0.076
29
0.008
0.008 1.014645
39.671
0.055
12
0.013
0.013 1.648798
18.335
0.05
30
0.004
0.005 0.634153
39.933
0.067
13
0.005
0.005 0.634153
18.735
0.066
31
-0.013
-1.6488
42.486
0.051
14
-0.004
-0.005 -0.63415
19.059
0.087
32
0.005
0.004 0.507322
42.841
0.061
15
19.059
0.121
33
0.011
0.011 1.395137
44.682
0.053
16
0.011
0.011 1.395137
21.107
0.099
34
-0.012
-0.012 -1.52197
46.952
0.043
17
-0.011
-0.011 -1.39514
22.955
0.085
35
-0.007
-0.006 -0.76098
47.832
0.046
18
-0.01
-0.009 -1.14148
24.507
0.079
36
0.001
0.001 0.126831
47.86
0.058
-0.013
AC
SQRT(N)*
PAC
PAC
Q-Stat
Prob
lags
AC
SQRT(N)*
PAC
PAC
Q-Stat
Observations
Prob
0.011
0.011
1.395137
2.0998
19
0.002
0.002
0.253661
11.368
0.837
0.002
0.002
0.253661
2.1909
20
-0.002
-0.002
-0.25366
11.424
0.876
0.001
0.001
0.126831
2.2065
0.137
21
-0.002
-0.001
-0.12683
11.46
0.907
-0.002
-0.002
-0.25366
2.2434
0.326
22
-0.005
-0.005
-0.63415
11.849
0.921
2.2444
0.523
23
11.849
0.944
-0.01
-0.01
-1.26831
3.7929
0.435
24
0.002
0.001
0.126831
11.894
0.96
-0.012
-0.012
-1.52197
6.194
0.288
25
-0.001
-0.001
-0.12683
11.921
0.972
-0.001
-0.001
-0.12683
6.2132
0.4
26
-0.022
-0.021
-2.66344
19.371
0.732
0.01
0.01
1.268306
7.7643
0.354
27
-0.005
-0.004
-0.50732
19.765
0.759
10
0.001
7.769
0.456
28
-0.008
-0.008
-1.01464
20.862
0.749
11
-0.002
-0.002
-0.25366
7.816
0.553
29
0.001
0.001
0.126831
20.871
0.792
12
-0.006
-0.006
-0.76098
8.3879
0.591
30
-0.008
-0.008
-1.01464
21.971
0.783
13
-0.004
-0.004
-0.50732
8.619
0.657
31
-0.005
-0.005
-0.63415
22.344
0.806
14
0.002
0.002
0.253661
8.6817
0.73
32
-0.007
-0.008
-1.01464
23.234
0.806
15
-0.005
-0.005
-0.63415
9.1452
0.762
33
0.009
0.009
1.141475
24.675
0.782
16
-0.004
-0.004
-0.50732
9.4626
0.8
34
0.004
0.003
0.380492
24.903
0.81
17
-0.009
-0.009
-1.14148
10.793
0.767
35
0.008
0.008
1.014645
25.907
0.805
18
-0.005
-0.005
-0.63415
11.272
0.792
36
0.002
0.002
0.253661
25.965
0.837
Conclusion
The data has significant stochastic trend which got removed after first
differencing.
No presence of seasonality in the data.
The best fitted conditional mean model is ARMA(1,1).
DATA SOURCE:
Yahoo Finance
SOFTWARE USED:
Eviews 7
Microsoft Office 2013
Reference:
ARCH/GARCH Models by Prof. Samarjit Das