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C 0.000755 0.000478
AR(7) 0.088654 0.028401
PLE
RCH
Variance Equation
Modelo ARCH(5)
RESID(-1)^2 0.157522
RESID(-2)^2 0.051604
RESID(-3)^2 0.137837
RESID(-4)^2 0.065214
RESID(-5)^2 0.116274
Suma 0.528451
5 6 7 8 9 10
ARCH(5) ARCH(6) Criterio AR(1) AR(2) AR(3)
-12.11266 -12.11357 Akaike info criterion -12.09619 -12.08496 -12.0908
-12.08799* -12.08478 Schwarz criterion -12.08801 -12.07677 -12.08261
-12.10338* -12.10274 Hannan-Quinn criterion -12.09312 -12.08188 -12.08772
en del ARCH
AR(4) AR(5) AR(6)
-12.08288 -12.10402* -12.0875
-12.07468 -12.09582* -12.0793
-12.0798 -12.10094* -12.08442
Criterio GARH(1,1) GARH(2,1) GARH(1,2) GARH(2,2) GARH(1,3)
Akaike info criterion -5.603095 -5.603095 -5.604194 -5.60313 -5.605184*
Schwarz criterion -5.58265* -5.58265 -5.579661 -5.574508 -5.576561
Hannan-Quinn criterion -5.595411* -5.595411 -5.594974 -5.592373 -5.594426
Variance Equation
α0= 0.000019 C
RESID(-1)^2
α1= 0.112736 El shock de las noticias GARCH(-1)
α1 + β1 = 0.923163
∑=
−
p
j
itjh
1
β
GARH(2,3) GARH(3,3)
-5.604235 -5.603817
-5.571524 -5.567016
-5.591941 -5.589986
F-statistic 0.034
Obs*R-squared 0.034
∑ = βjht-i
−
p
j
itjh
1
β
Heteroskedasticity Test: ARCH
F-statistic 27.43949
Obs*R-squared 187.8537
Modelo ARCH(5)
RESID(-1)^2
RESID(-2)^2
RESID(-3)^2
RESID(-4)^2
RESID(-5)^2
Suma
7 8 9 10
Criterio AR(1) AR(2) AR(3) AR(4) AR(5)
Akaike info criterion -12.09619 -12.08496 -12.0908 -12.08288 -12.10402*
Schwarz criterion -12.08801 -12.07677 -12.08261 -12.07468 -12.09582*
Hannan-Quinn criterion -12.09312 -12.08188 -12.08772 -12.0798 -12.10094*
Variance Equation
Modelo ARCH(5)
RESID(-1)^2 0.210919
RESID(-2)^2 0.120575
RESID(-3)^2 0.147168
RESID(-4)^2 0.178434
RESID(-5)^2 0.046602
RESID(-6)^2 0.097454
Suma 0.801152
5 6 7 8 9 10
ARCH(5) ARCH(6) ARCH(7) Criterio AR(1) AR(2)
-7.004798 -7.012767* -7.011263 Akaike info criterion -6.855753 -6.909083
-6.976193 -6.980077* -6.974486 Schwarz criterion -6.843494 -6.892738
-6.994047 -7.000481* -6.997441 Hannan-Quinn criterion -6.851145 -6.90294
n del ARCH
AR(3) AR(4) AR(5) AR(6) AR(7)
-6.948987 -6.990654 -7.004798 -7.012767 -7.011263
-6.928555 -6.966136 -6.976193 -6.980077 -6.974486
-6.941308 -6.98144 -6.994047 -7.000481 -6.997441
Criterio GARH(1,1) GARH(2,1) GARH(1,2) GARH(2,2) GARH(1,3)
Akaike info criterion 8.777848 8.652079* 11.99615 11.53945 11.53095
Schwarz criterion 8.798279 8.676597* 12.02067 11.56806 11.55956
Hannan-Quinn criterion 8.785526 8.661294* 12.00537 11.5502 11.5417
Variance Equation
α0= 484.143700
α2= 0.316727
∑=
−
p
j
itjh
1
β
GARH(2,3) GARH(3,3)
11.63717 11.57498
11.66986 11.61176
11.64946 11.5888
.. 0.146...
.. 0.612... 0.43...
.. 1.643... 0.44...
.. 1.790... 0.61...
.. 3.819... 0.43...
.. 4.057... 0.54...
.. 4.503... 0.60...
.. 7.731... 0.35...
.. 9.517... 0.30...
.. 9.517... 0.39...
.. 9.626... 0.47...
0.0084
(2) 0.0085
-Statistic Prob.
0.069392 0.9447
733.9348 0.0000
20.65356 0.0000
9.004621 0.0000
8.387110 0.0000
13.77834 0.0000
20.65356 0.0000
9.004621 0.0000
8.387110 0.0000
13.77834 0.0000