D:\ENCADREMENT MDR\Results.

out 07/17/17 14:01:27

---- OxMetrics 6.01 started at 12:26:42 on 17- Log Likelihood : 1233.698 Alpha[1]+Beta[1]
-Jul-2017 ---- ]: 0.96409

datauk1.xls loaded from D:\ENCADREMENT MDR\abb
boud\datauk1.xls
Classeur basedonnee1.xls loaded from D:\ENCADR
REMENT MDR\Classeur basedonnee1.xls
Ox Professional version 6.00 (Windows/U) (C) J
J.A. Doornik, 1994-2009
Copyright for this package: S. Laurent, 2007-2
2009.
MG@RCH package version 1.2, object created on
17-07-2017
Copyright for this package: S. Laurent, 2000-2
2009.
G@RCH package version 6.0, object created on 1
17-07-2017
Copyright for this package: S. Laurent, 2007-2
2009.
The sample mean of squared residuals was used
to start recursion.
The positivity constraint for the GARCH (1,1)
is observed.
This constraint is alpha[L]/[1 - beta(L)] >= 0
0.
The unconditional variance is 0.00220012
The conditions are alpha[0] > 0, alpha[L] + be
eta[L] < 1 and alpha[i] + beta[i] >= 0.
=> See Doornik & Ooms (2001) for more detail
ls.
The condition for existence of the fourth mome
ent of the GARCH is observed.
The constraint equals 0.965613 and should be <
< 1.
=> See Ling & McAleer (2001) for details.
Estimated Parameters Vector :
0.007210; 0.789957; 0.134414; 0.829681

Starting estimation process... Elapsed Time : 0.109 seconds (or 0.00181667 mi

inutes).

******************** ---------------------------Estimating the univ

** FIRST STEP ** variate GARCH model for rend riz---------------
******************* -------------

---------------------------Estimating the univ

variate GARCH model for rend sp500-------------
---------------
********************
** SPECIFICATIONS **
********************
Dependent variable : rend sp500
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
********************
** SPECIFICATIONS **
********************
Dependent variable : rend riz
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
Strong convergence using numerical derivatives
Log-likelihood = 954.021
Please wait : Computing the Std Errors ...

Strong convergence using numerical derivatives Robust Standard Errors (Sandwich formula)
Log-likelihood = 1233.7 Coefficient Std.Error t-va
Please wait : Computing the Std Errors ... alue t-prob
Cst(M) -0.001321 0.0059642 -0.2
Robust Standard Errors (Sandwich formula) 2214 0.8248
Coefficient Std.Error t-va Cst(V) x 10^4 4.285669 3.8399 1.
alue t-prob .116 0.2648
Cst(M) 0.007210 0.0014824 4. ARCH(Alpha1) 0.129141 0.082783 1.
.864 0.0000 .560 0.1192
Cst(V) x 10^4 0.789957 0.38895 2. GARCH(Beta1) 0.791143 0.10362 7.
.031 0.0426 .635 0.0000
ARCH(Alpha1) 0.134414 0.031357 4.
.287 0.0000 No. Observations : 689 No. Parameters
GARCH(Beta1) 0.829681 0.034863 23 : 4
3.80 0.0000 Mean (Y) : 0.00402 Variance (Y)
: 0.00423
No. Observations : 689 No. Parameters Skewness (Y) : 3.88127 Kurtosis (Y)
: 4 : 41.85409
Mean (Y) : 0.00639 Variance (Y) Log Likelihood : 954.021 Alpha[1]+Beta[1]
: 0.00178 ]: 0.92028
Skewness (Y) : -0.42928 Kurtosis (Y)
: 4.87572 The sample mean of squared residuals was used

Page: 1 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
to start recursion.
The positivity constraint for the GARCH (1,1)
is observed.
This constraint is alpha[L]/[1 - beta(L)] >= 0
0.
The unconditional variance is 0.00537612
The conditions are alpha[0] > 0, alpha[L] + be
eta[L] < 1 and alpha[i] + beta[i] >= 0.
=> See Doornik & Ooms (2001) for more detail
ls.
The condition for existence of the fourth mome
ent of the GARCH is observed.
The constraint equals 0.880276 and should be <
< 1.
=> See Ling & McAleer (2001) for details.
Estimated Parameters Vector :
-0.001321; 4.285669; 0.129141; 0.791143
Elapsed Time : 0.109 seconds (or 0.00181667 mi
inutes).
0.
The unconditional variance is 0.00831707
The conditions are alpha[0] > 0, alpha[L] + be
eta[L] < 1 and alpha[i] + beta[i] >= 0.
=> See Doornik & Ooms (2001) for more detail
ls.
The condition for existence of the fourth mome
ent of the GARCH is not observed.
The constraint equals 1.00283 and should be <
1.
=> See Ling & McAleer (2001) for details.
Estimated Parameters Vector :
0.000204; 1.088895; 0.120093; 0.866815
Elapsed Time : 0.11 seconds (or 0.00183333 min
nutes).
---------------------------Estimating the univ
variate GARCH model for rend mais--------------
--------------

---------------------------Estimating the univ

variate GARCH model for rend bl---------------- ********************
------------ ** SPECIFICATIONS **
********************
Dependent variable : rend mais
******************** Mean Equation : ARMA (0, 0) model.
** SPECIFICATIONS ** No regressor in the conditional mean
******************** Variance Equation : GARCH (1, 1) model.
Dependent variable : rend bl No regressor in the conditional variance
Mean Equation : ARMA (0, 0) model. Normal distribution.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model. Strong convergence using numerical derivatives
No regressor in the conditional variance Log-likelihood = 1037.1
Normal distribution. Please wait : Computing the Std Errors ...

Strong convergence using numerical derivatives Robust Standard Errors (Sandwich formula)
Log-likelihood = 1036.47 Coefficient Std.Error t-va
Please wait : Computing the Std Errors ... alue t-prob
Cst(M) 0.002440 0.0019576 1.
Robust Standard Errors (Sandwich formula) .246 0.2130
Coefficient Std.Error t-va Cst(V) x 10^4 0.646760 0.47459 1.
alue t-prob .363 0.1734
Cst(M) 0.000204 0.0023794 0.08 ARCH(Alpha1) 0.043676 0.013885 3.
8580 0.9317 .146 0.0017
Cst(V) x 10^4 1.088895 0.72548 1. GARCH(Beta1) 0.936564 0.021770 43
.501 0.1338 3.02 0.0000
ARCH(Alpha1) 0.120093 0.049154 2.
.443 0.0148 No. Observations : 689 No. Parameters
GARCH(Beta1) 0.866815 0.029661 29 : 4
9.22 0.0000 Mean (Y) : 0.00332 Variance (Y)
: 0.00302
No. Observations : 689 No. Parameters Skewness (Y) : 0.40125 Kurtosis (Y)
: 4 : 6.79553
Mean (Y) : 0.00332 Variance (Y) Log Likelihood : 1037.096 Alpha[1]+Beta[1]
: 0.00356 ]: 0.98024
Skewness (Y) : 2.62700 Kurtosis (Y)
: 28.30489 The sample mean of squared residuals was used
Log Likelihood : 1036.470 Alpha[1]+Beta[1] to start recursion.
]: 0.98691 The positivity constraint for the GARCH (1,1)
is observed.
The sample mean of squared residuals was used This constraint is alpha[L]/[1 - beta(L)] >= 0
to start recursion. 0.
The positivity constraint for the GARCH (1,1) The unconditional variance is 0.00327307
is observed. The conditions are alpha[0] > 0, alpha[L] + be
This constraint is alpha[L]/[1 - beta(L)] >= 0 eta[L] < 1 and alpha[i] + beta[i] >= 0.

Page: 2 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
=> See Doornik & Ooms (2001) for more detail ent of the GARCH is not observed.
ls. The constraint equals 1.12066 and should be <
The condition for existence of the fourth mome 1.
ent of the GARCH is observed. => See Ling & McAleer (2001) for details.
The constraint equals 0.964686 and should be <
< 1. Estimated Parameters Vector :
=> See Ling & McAleer (2001) for details. 0.003957; 0.371341; 0.178063; 0.850160

Estimated Parameters Vector : Elapsed Time : 0.094 seconds (or 0.00156667 mi

0.002440; 0.646760; 0.043676; 0.936564 inutes).

Elapsed Time : 0.109 seconds (or 0.00181667 mi ---------------------------Estimating the univ

inutes). variate GARCH model for rend soja--------------
--------------
---------------------------Estimating the univ
variate GARCH model for rend orge--------------
-------------- ********************
** SPECIFICATIONS **
********************
******************** Dependent variable : rend soja
** SPECIFICATIONS ** Mean Equation : ARMA (0, 0) model.
******************** No regressor in the conditional mean
Dependent variable : rend orge Variance Equation : GARCH (1, 1) model.
Mean Equation : ARMA (0, 0) model. No regressor in the conditional variance
No regressor in the conditional mean Normal distribution.
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance Strong convergence using numerical derivatives
Normal distribution. Log-likelihood = 1076.4
Please wait : Computing the Std Errors ...
Strong convergence using numerical derivatives
Log-likelihood = 1045.65 Robust Standard Errors (Sandwich formula)
Please wait : Computing the Std Errors ... Coefficient Std.Error t-va
alue t-prob
Robust Standard Errors (Sandwich formula) Cst(M) 0.001404 0.0019446 0.7
Coefficient Std.Error t-va 7222 0.4704
alue t-prob Cst(V) x 10^4 4.606796 2.3803 1.
Cst(M) 0.003957 0.0019566 2. .935 0.0534
.022 0.0435 ARCH(Alpha1) 0.289058 0.11573 2.
Cst(V) x 10^4 0.371341 0.35359 1. .498 0.0127
.050 0.2940 GARCH(Beta1) 0.590458 0.14534 4.
ARCH(Alpha1) 0.178063 0.083328 2. .063 0.0001
.137 0.0330
GARCH(Beta1) 0.850160 0.056291 15 No. Observations : 689 No. Parameters
5.10 0.0000 : 4
Mean (Y) : 0.00368 Variance (Y)
No. Observations : 689 No. Parameters : 0.00336
: 4 Skewness (Y) : 0.78122 Kurtosis (Y)
Mean (Y) : 0.00465 Variance (Y) : 9.83773
: 0.00383 Log Likelihood : 1076.400 Alpha[1]+Beta[1]
Skewness (Y) : 0.76886 Kurtosis (Y) ]: 0.87952
: 8.18897
Log Likelihood : 1045.647 Alpha[1]+Beta[1] The sample mean of squared residuals was used
]: 1.02822 to start recursion.
The positivity constraint for the GARCH (1,1)
The sample mean of squared residuals was used is observed.
to start recursion. This constraint is alpha[L]/[1 - beta(L)] >= 0
The positivity constraint for the GARCH (1,1) 0.
is observed. The unconditional variance is 0.00382357
This constraint is alpha[L]/[1 - beta(L)] >= 0 The conditions are alpha[0] > 0, alpha[L] + be
0. eta[L] < 1 and alpha[i] + beta[i] >= 0.
The unconditional variance does not exist and/ => See Doornik & Ooms (2001) for more detail
/or is not positive. ls.
The conditions are alpha[0] > 0, alpha[L] + be The condition for existence of the fourth mome
eta[L] < 1 and alpha[i] + beta[i] >= 0. ent of the GARCH is observed.
=> See Doornik & Ooms (2001) for more detail The constraint equals 0.940657 and should be <
ls. < 1.
The condition for existence of the fourth mome => See Ling & McAleer (2001) for details.

Page: 3 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
Estimated Parameters Vector :
0.001404; 4.606796; 0.289058; 0.590458
Elapsed Time : 0.109 seconds (or 0.00181667 mi
inutes).
Elapsed Time : 0.079 seconds (or 0.00131667 mi
inutes).
---------------------------Estimating the univ
variate GARCH model for rend huile de soja-----
-----------------------

---------------------------Estimating the univ

variate GARCH model for rend farine de soja----
------------------------
********************
** SPECIFICATIONS **
********************
Dependent variable : rend farine de soja
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
********************
** SPECIFICATIONS **
********************
Dependent variable : rend huile de soja
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
Strong convergence using numerical derivatives
Log-likelihood = 980.5
Please wait : Computing the Std Errors ...

Strong convergence using numerical derivatives Robust Standard Errors (Sandwich formula)
Log-likelihood = 975.258 Coefficient Std.Error t-va
Please wait : Computing the Std Errors ... alue t-prob
Cst(M) 0.000700 0.0021000 0.3
Robust Standard Errors (Sandwich formula) 3333 0.7390
Coefficient Std.Error t-va Cst(V) x 10^4 4.691506 4.0487 1.
alue t-prob .159 0.2470
Cst(M) 0.002116 0.0020690 1. ARCH(Alpha1) 0.245698 0.15764 1.
.023 0.3067 .559 0.1196
Cst(V) x 10^4 5.468077 3.4229 1. GARCH(Beta1) 0.658156 0.21777 3.
.597 0.1106 .022 0.0026
ARCH(Alpha1) 0.289168 0.10285 2.
.812 0.0051 No. Observations : 689 No. Parameters
GARCH(Beta1) 0.603588 0.15478 3. : 4
.900 0.0001 Mean (Y) : 0.00395 Variance (Y)
: 0.00393
No. Observations : 689 No. Parameters Skewness (Y) : 0.81104 Kurtosis (Y)
: 4 : 6.52380
Mean (Y) : 0.00420 Variance (Y) Log Likelihood : 980.500 Alpha[1]+Beta[1]
: 0.00463 ]: 0.90385
Skewness (Y) : 0.44430 Kurtosis (Y)
: 10.25927 The sample mean of squared residuals was used
Log Likelihood : 975.258 Alpha[1]+Beta[1] to start recursion.
]: 0.89276 The positivity constraint for the GARCH (1,1)
is observed.
The sample mean of squared residuals was used This constraint is alpha[L]/[1 - beta(L)] >= 0
to start recursion. 0.
The positivity constraint for the GARCH (1,1) The unconditional variance is 0.00487957
is observed. The conditions are alpha[0] > 0, alpha[L] + be
This constraint is alpha[L]/[1 - beta(L)] >= 0 eta[L] < 1 and alpha[i] + beta[i] >= 0.
0. => See Doornik & Ooms (2001) for more detail
The unconditional variance is 0.0050987 ls.
The conditions are alpha[0] > 0, alpha[L] + be The condition for existence of the fourth mome
eta[L] < 1 and alpha[i] + beta[i] >= 0. ent of the GARCH is observed.
=> See Doornik & Ooms (2001) for more detail The constraint equals 0.937687 and should be <
ls. < 1.
The condition for existence of the fourth mome => See Ling & McAleer (2001) for details.
ent of the GARCH is observed.
The constraint equals 0.964248 and should be < Estimated Parameters Vector :
< 1. 0.000700; 4.691506; 0.245698; 0.658156
=> See Ling & McAleer (2001) for details.
Elapsed Time : 0.093 seconds (or 0.00155 minut
Estimated Parameters Vector : tes).
0.002116; 5.468077; 0.289168; 0.603588
---------------------------Estimating the univ

Page: 4 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
variate GARCH model for ren de huile palme-----
----------------------- ********************
** SPECIFICATIONS **
********************
******************** Dependent variable : huile d'arachide
** SPECIFICATIONS ** Mean Equation : ARMA (0, 0) model.
******************** No regressor in the conditional mean
Dependent variable : ren de huile palme Variance Equation : GARCH (1, 1) model.
Mean Equation : ARMA (0, 0) model. No regressor in the conditional variance
No regressor in the conditional mean Normal distribution.
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance Strong convergence using numerical derivatives
Normal distribution. Log-likelihood = 1046.5
Please wait : Computing the Std Errors ...
Strong convergence using numerical derivatives
Log-likelihood = 909.46 Robust Standard Errors (Sandwich formula)
Please wait : Computing the Std Errors ... Coefficient Std.Error t-va
alue t-prob
Robust Standard Errors (Sandwich formula) Cst(M) -0.003111 0.0022126 -1.
Coefficient Std.Error t-va .406 0.1602
alue t-prob Cst(V) x 10^4 2.254494 1.2572 1.
Cst(M) 0.003573 0.0021345 1. .793 0.0734
.674 0.0946 ARCH(Alpha1) 0.658585 0.17774 3.
Cst(V) x 10^4 0.771660 0.56198 1. .705 0.0002
.373 0.1702 GARCH(Beta1) 0.515365 0.086419 5.
ARCH(Alpha1) 0.156653 0.048989 3. .964 0.0000
.198 0.0014
GARCH(Beta1) 0.849297 0.036722 23 No. Observations : 689 No. Parameters
3.13 0.0000 : 4
Mean (Y) : 0.00431 Variance (Y)
No. Observations : 689 No. Parameters : 0.00461
: 4 Skewness (Y) : 3.00639 Kurtosis (Y)
Mean (Y) : 0.00408 Variance (Y) : 34.38483
: 0.00512 Log Likelihood : 1046.501 Alpha[1]+Beta[1]
Skewness (Y) : 0.41412 Kurtosis (Y) ]: 1.17395
: 5.57927
Log Likelihood : 909.460 Alpha[1]+Beta[1] The sample mean of squared residuals was used
]: 1.00595 to start recursion.
The positivity constraint for the GARCH (1,1)
The sample mean of squared residuals was used is observed.
to start recursion. This constraint is alpha[L]/[1 - beta(L)] >= 0
The positivity constraint for the GARCH (1,1) 0.
is observed. The unconditional variance does not exist and/
This constraint is alpha[L]/[1 - beta(L)] >= 0 /or is not positive.
0. The conditions are alpha[0] > 0, alpha[L] + be
The unconditional variance does not exist and/ eta[L] < 1 and alpha[i] + beta[i] >= 0.
/or is not positive. => See Doornik & Ooms (2001) for more detail
The conditions are alpha[0] > 0, alpha[L] + be ls.
eta[L] < 1 and alpha[i] + beta[i] >= 0. The condition for existence of the fourth mome
=> See Doornik & Ooms (2001) for more detail ent of the GARCH is not observed.
ls. The constraint equals 2.24563 and should be <
The condition for existence of the fourth mome 1.
ent of the GARCH is not observed. => See Ling & McAleer (2001) for details.
The constraint equals 1.06102 and should be <
1. Estimated Parameters Vector :
=> See Ling & McAleer (2001) for details. -0.003111; 2.254494; 0.658585; 0.515365

Estimated Parameters Vector : Elapsed Time : 0.109 seconds (or 0.00181667 mi

0.003573; 0.771660; 0.156653; 0.849297 inutes).

Elapsed Time : 0.094 seconds (or 0.00156667 mi ---------------------------Estimating the univ

inutes). variate GARCH model for rend sucre-------------
---------------
---------------------------Estimating the univ
variate GARCH model for huile d'arachide-------
--------------------- ********************
** SPECIFICATIONS **

Page: 5 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
******************** No regressor in the conditional mean
Dependent variable : rend sucre Variance Equation : GARCH (1, 1) model.
Mean Equation : ARMA (0, 0) model. No regressor in the conditional variance
No regressor in the conditional mean Normal distribution.
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance No convergence (no improvement in line search)
Normal distribution. ) using numerical derivatives
Log-likelihood = 368.33
Strong convergence using numerical derivatives
Log-likelihood = 931.746 No. Observations : 689 No. Parameters
Please wait : Computing the Std Errors ... : 4
Mean (Y) : 0.01412 Variance (Y)
Robust Standard Errors (Sandwich formula) : 0.02401
Coefficient Std.Error t-va Skewness (Y) : 1.13676 Kurtosis (Y)
alue t-prob : 6.79906
Cst(M) -0.004806 0.0031684 -1. Log Likelihood : 368.330 Alpha[1]+Beta[1]
.517 0.1298 ]: 0.99397
Cst(V) x 10^4 7.797881 1.9935 3.
.912 0.0001 Estimated Parameters Vector :
ARCH(Alpha1) 3.285269 1.5665 2. 0.013805; 0.000176; 0.060211; 0.933762
.097 0.0363
GARCH(Beta1) 0.083001 0.067895 1. Parameters Names
.222 0.2219 Cst(M) ; Cst(V) ; ARCH(Alp
pha1) ; GARCH(Beta1) ;
No. Observations : 689 No. Parameters The tests are not reported since there is no
: 4 convergence.
Mean (Y) : 0.01599 Variance (Y) Elapsed Time : 0.078 seconds (or 0.0013 minute
: 0.11544 es).
Skewness (Y) : 24.21175 Kurtosis (Y)
: 619.41621 ---------------------------Estimating the univ
Log Likelihood : 931.746 Alpha[1]+Beta[1] variate GARCH model for rend orange------------
]: 3.36827 ----------------

The sample mean of squared residuals was used

to start recursion. ********************
The positivity constraint for the GARCH (1,1) ** SPECIFICATIONS **
is observed. ********************
This constraint is alpha[L]/[1 - beta(L)] >= 0 Dependent variable : rend orange
0. Mean Equation : ARMA (0, 0) model.
The unconditional variance does not exist and/ No regressor in the conditional mean
/or is not positive. Variance Equation : GARCH (1, 1) model.
The conditions are alpha[0] > 0, alpha[L] + be No regressor in the conditional variance
eta[L] < 1 and alpha[i] + beta[i] >= 0. Normal distribution.
=> See Doornik & Ooms (2001) for more detail
ls. No convergence (no improvement in line search)
The condition for existence of the fourth mome ) using numerical derivatives
ent of the GARCH is not observed. Log-likelihood = 297.682
The constraint equals 32.9312 and should be <
1. No. Observations : 689 No. Parameters
=> See Ling & McAleer (2001) for details. : 4
Mean (Y) : 0.01320 Variance (Y)
Estimated Parameters Vector : : 0.02562
-0.004806; 7.797881; 3.285269; 0.083001 Skewness (Y) : 4.89377 Kurtosis (Y)
: 66.63824
Elapsed Time : 0.125 seconds (or 0.00208333 mi Log Likelihood : 297.682 Alpha[1]+Beta[1]
inutes). ]: 0.93554

---------------------------Estimating the univ Estimated Parameters Vector :

variate GARCH model for rend banane------------ 0.007918; 0.001631;-0.005082; 0.940622
----------------
Parameters Names
Cst(M) ; Cst(V) ; ARCH(Alp
******************** pha1) ; GARCH(Beta1) ;
** SPECIFICATIONS ** The tests are not reported since there is no
******************** convergence.
Dependent variable : rend banane Elapsed Time : 0.235 seconds (or 0.00391667 mi
Mean Equation : ARMA (0, 0) model. inutes).

Page: 6 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27

---------------------------Estimating the univ

variate GARCH model for viande de poulet-------
---------------------
********************
** SPECIFICATIONS **
********************
Dependent variable : viande de poulet
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
********************
** SPECIFICATIONS **
********************
Dependent variable : rend viande de bovin
Mean Equation : ARMA (0, 0) model.
No regressor in the conditional mean
Variance Equation : GARCH (1, 1) model.
No regressor in the conditional variance
Normal distribution.
Strong convergence using numerical derivatives
Log-likelihood = 1140.22
Please wait : Computing the Std Errors ...

Strong convergence using numerical derivatives Robust Standard Errors (Sandwich formula)
Log-likelihood = 1831.21 Coefficient Std.Error t-va
Please wait : Computing the Std Errors ... alue t-prob
Cst(M) 0.008290 0.0024875 3.
Robust Standard Errors (Sandwich formula) .333 0.0009
Coefficient Std.Error t-va Cst(V) x 10^4 0.375448 1.4019 0.2
alue t-prob 2678 0.7889
Cst(M) 0.005040 0.00082604 6. ARCH(Alpha1) 1.241812 0.68025 1.
.102 0.0000 .826 0.0684
Cst(V) x 10^4 0.197623 0.22668 0.8 GARCH(Beta1) 0.486916 0.12558 3.
8718 0.3836 .877 0.0001
ARCH(Alpha1) 0.227761 0.13354 1.
.706 0.0885 No. Observations : 689 No. Parameters
GARCH(Beta1) 0.755414 0.13890 5. : 4
.438 0.0000 Mean (Y) : 0.00415 Variance (Y)
: 0.00332
No. Observations : 689 No. Parameters Skewness (Y) : 5.65188 Kurtosis (Y)
: 4 : 99.17746
Mean (Y) : 0.00303 Variance (Y) Log Likelihood : 1140.222 Alpha[1]+Beta[1]
: 0.00038 ]: 1.72873
Skewness (Y) : 0.48339 Kurtosis (Y)
: 9.66320 The sample mean of squared residuals was used
Log Likelihood : 1831.213 Alpha[1]+Beta[1] to start recursion.
]: 0.98317 The positivity constraint for the GARCH (1,1)
is observed.
The sample mean of squared residuals was used This constraint is alpha[L]/[1 - beta(L)] >= 0
to start recursion. 0.
The positivity constraint for the GARCH (1,1) The unconditional variance does not exist and/
is observed. /or is not positive.
This constraint is alpha[L]/[1 - beta(L)] >= 0 The conditions are alpha[0] > 0, alpha[L] + be
0. eta[L] < 1 and alpha[i] + beta[i] >= 0.
The unconditional variance is 0.00117456 => See Doornik & Ooms (2001) for more detail
The conditions are alpha[0] > 0, alpha[L] + be ls.
eta[L] < 1 and alpha[i] + beta[i] >= 0. The condition for existence of the fourth mome
=> See Doornik & Ooms (2001) for more detail ent of the GARCH is not observed.
ls. The constraint equals 6.0727 and should be < 1
The condition for existence of the fourth mome 1.
ent of the GARCH is not observed. => See Ling & McAleer (2001) for details.
The constraint equals 1.07038 and should be <
1. Estimated Parameters Vector :
=> See Ling & McAleer (2001) for details. 0.008290; 0.375448; 1.241812; 0.486916

Estimated Parameters Vector : Elapsed Time : 0.125 seconds (or 0.00208333 mi

0.005040; 0.197623; 0.227761; 0.755414 inutes).

Elapsed Time : 0.093 seconds (or 0.00155 minut

tes). ********************
** SECOND STEP **
---------------------------Estimating the univ *******************
variate GARCH model for rend viande de bovin---
-------------------------

Page: 7 of 9
D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
************* rho_62 0.012063 0.045129 0.2
** SERIES ** 2673 0.7893
************* rho_72 0.064883 0.032253 2.
#1: rend sp500 .012 0.0447
#2: rend riz rho_82 0.062527 0.033222 1.
#3: rend bl .882 0.0603
#4: rend mais rho_92 0.090545 0.042951 2.
#5: rend orge .108 0.0354
#6: rend soja rho_102 0.105710 0.034367 3.
#7: rend farine de soja .076 0.0022
#8: rend huile de soja rho_112 0.044416 0.033490 1.
#9: ren de huile palme .326 0.1853
#10: huile d'arachide rho_122 0.009076 0.035700 0.2
#11: rend sucre 2542 0.7994
#12: rend banane rho_132 0.037407 0.029345 1.
#13: rend orange .275 0.2029
#14: viande de poulet rho_142 0.019524 0.034163 0.5
#15: rend viande de bovin 5715 0.5679
rho_152 -0.004230 0.042798 -0.09
******************************* 9885 0.9213
** MG@RCH( 1) SPECIFICATIONS ** rho_43 0.393708 0.042119 9.
******************************* .348 0.0000
Conditional Variance : Dynamic Correlation Mod rho_53 0.510927 0.039490 12
del (Engle) 2.94 0.0000
Multivariate Normal distribution. rho_63 0.304675 0.059152 5.
.151 0.0000
Strong convergence using numerical derivatives rho_73 0.296632 0.070640 4.
Log-likelihood = 15937.1 .199 0.0000
Please wait : Computing the Std Errors ... rho_83 0.213416 0.045465 4.
.694 0.0000
Robust Standard Errors (Sandwich formula) rho_93 0.165247 0.037061 4.
Coefficient Std.Error t-va .459 0.0000
alue t-prob rho_103 0.073739 0.038066 1.
rho_21 0.042619 0.033738 1. .937 0.0532
.263 0.2070 rho_113 0.068588 0.033074 2.
rho_31 0.026755 0.042655 0.6 .074 0.0385
6272 0.5307 rho_123 0.033437 0.037036 0.9
rho_41 0.003059 0.044819 0.06 9028 0.3670
6826 0.9456 rho_133 -0.008997 0.031604 -0.2
rho_51 0.050944 0.040846 1. 2847 0.7760
.247 0.2128 rho_143 0.009293 0.041526 0.2
rho_61 0.010510 0.039605 0.2 2238 0.8230
2654 0.7908 rho_153 0.077729 0.045081 1.
rho_71 0.006790 0.036401 0.1 .724 0.0852
1865 0.8521 rho_54 0.532866 0.030312 17
rho_81 -0.046428 0.041533 -1. 7.58 0.0000
.118 0.2641 rho_64 0.573620 0.032202 17
rho_91 0.026018 0.040588 0.6 7.81 0.0000
6410 0.5218 rho_74 0.418325 0.036922 11
rho_101 0.008794 0.041866 0.2 1.33 0.0000
2101 0.8337 rho_84 0.361298 0.033600 10
rho_111 -0.038622 0.033643 -1. 0.75 0.0000
.148 0.2515 rho_94 0.262428 0.035270 7.
rho_121 -0.015581 0.039254 -0.3 .441 0.0000
3969 0.6916 rho_104 0.229719 0.037579 6.
rho_131 0.018530 0.045443 0.4 .113 0.0000
4078 0.6836 rho_114 0.118248 0.037848 3.
rho_141 -0.029218 0.037556 -0.7 .124 0.0019
7780 0.4369 rho_124 0.016431 0.038006 0.4
rho_151 0.010527 0.036419 0.2 4323 0.6657
2890 0.7727 rho_134 0.000231 0.043788 0.005
rho_32 0.048241 0.036012 1. 5267 0.9958
.340 0.1809 rho_144 0.034700 0.051296 0.6
rho_42 0.081534 0.031270 2. 6765 0.4990
.607 0.0094 rho_154 0.057720 0.038534 1.
rho_52 0.072095 0.030066 2. .498 0.1347
.398 0.0168 rho_65 0.384709 0.043008 8.

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D:\ENCADREMENT MDR\Results.out 07/17/17 14:01:27
.945 0.0000 rho_109 0.236287 0.049848 4.
rho_75 0.303876 0.045452 6. .740 0.0000
.686 0.0000 rho_119 0.029815 0.035102 0.8
rho_85 0.288999 0.037141 7. 8494 0.3960
.781 0.0000 rho_129 0.025398 0.036996 0.6
rho_95 0.230267 0.045655 5. 6865 0.4927
.044 0.0000 rho_139 -0.025958 0.033168 -0.7
rho_105 0.239102 0.044803 5. 7826 0.4342
.337 0.0000 rho_149 -0.022299 0.039159 -0.5
rho_115 0.040159 0.030829 1. 5694 0.5693
.303 0.1932 rho_159 0.010298 0.036030 0.2
rho_125 -0.017697 0.036228 -0.4 2858 0.7751
4885 0.6254 rho_1110 0.012548 0.031766 0.3
rho_135 -0.011942 0.033913 -0.3 3950 0.6930
3521 0.7249 rho_1210 -0.036124 0.044659 -0.8
rho_145 0.033227 0.065659 0.5 8089 0.4189
5060 0.6130 rho_1310 -0.014578 0.032397 -0.4
rho_155 0.067315 0.043746 1. 4500 0.6529
.539 0.1244 rho_1410 0.057404 0.048936 1.
rho_76 0.666247 0.023054 28 .173 0.2413
8.90 0.0000 rho_1510 0.035668 0.031114 1.
rho_86 0.603178 0.026643 22 .146 0.2521
2.64 0.0000 rho_1211 0.037475 0.041732 0.8
rho_96 0.382248 0.037668 10 8980 0.3696
0.15 0.0000 rho_1311 0.198612 0.10486 1.
rho_106 0.300778 0.042165 7. .894 0.0587
.133 0.0000 rho_1411 0.024866 0.037831 0.6
rho_116 0.109043 0.033782 3. 6573 0.5113
.228 0.0013 rho_1511 -0.158277 0.089594 -1.
rho_126 0.027849 0.037709 0.7 .767 0.0778
7385 0.4605 rho_1312 0.030108 0.049371 0.6
rho_136 0.008762 0.041982 0.2 6098 0.5422
2087 0.8348 rho_1412 -0.007796 0.038611 -0.2
rho_146 0.086568 0.044797 1. 2019 0.8401
.932 0.0538 rho_1512 0.040875 0.049682 0.8
rho_156 0.041125 0.038818 1. 8227 0.4110
.059 0.2898 rho_1413 0.089239 0.039888 2.
rho_87 0.310872 0.035639 8. .237 0.0256
.723 0.0000 rho_1513 -0.236787 0.12078 -1.
rho_97 0.195975 0.039825 4. .960 0.0504
.921 0.0000 rho_1514 0.150009 0.10470 1.
rho_107 0.234530 0.040581 5. .433 0.1525
.779 0.0000 alpha 0.030016 0.0084901 3.
rho_117 0.036466 0.032879 1. .535 0.0004
.109 0.2679 beta 0.000000 0.13902 0
rho_127 0.019061 0.036417 0.5 0.00 1.0000
5234 0.6009 No. Observations : 689 No. Parameters
rho_137 0.020163 0.038147 0.5 : 167
5285 0.5973 No. Series : 15 Log Likelihood
rho_147 0.087084 0.035745 2. : 15937.077
.436 0.0151 Elapsed Time : 4579.13 seconds (or 76.3188 min
rho_157 0.067004 0.041976 1. nutes).
.596 0.1110
rho_98 0.611529 0.026906 22
2.73 0.0000
rho_108 0.331073 0.049332 6.
.711 0.0000
rho_118 0.068908 0.037740 1.
.826 0.0684
rho_128 -0.002787 0.037588 -0.07
7413 0.9409
rho_138 -0.008066 0.039482 -0.2
2043 0.8382
rho_148 0.051376 0.046709 1.
.100 0.2718
rho_158 -0.022496 0.034801 -0.6
6464 0.5183

Page: 9 of 9