12第十二讲 ARCH建模分析

第十二讲ARCH建模分析NullHypothesis:JPYhasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=23)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-1.4851510.5411Testcriticalvalues: 1%level-3.4347275%level-2.86336010%level-2.567788*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(JPY)Method:LeastSquaresDate:07/20/11Time:15:45Sample(adjusted):21427Includedobservations:1426afteradjustmentsCoefficientStd.Errort-StatisticProb.JPY(-1)-0.0028460.001916-1.4851510.1377

JPY(-1)-0.0028460.001916-1.4851510.1377C0.3256800.217886 1.4947240.1352R-squared0.001547Meandependentvar0.004306AdjustedR-squared0.000845S.D.dependentvar0.962519S.E.ofregression0.962112Akaikeinfocriterion2.762029Sumsquaredresid1318.138Schwarzcriterion2.769410Loglikelihood-1967.327Hannan-Quinncriter.2.764786F-statistic2.205674Durbin-Watsonstat1.918201Prob(F-statistic)0.137725NullHypothesis:D(JPY)hasaunitrootExogenous:ConstantLagLength:0(AutomaticbasedonSIC,MAXLAG=23)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-36.276440.0000Testcriticalvalues: 1%level-3.4347305%level-2.86336210%level-2.567789*MacKinnon(1996)one-sidedp-values.AugmentedDickey-FullerTestEquationDependentVariable:D(JPY,2)Method:LeastSquaresDate:07/20/11Time:15:45Sample(adjusted):31427Includedobservations:1425afteradjustmentsCoefficientStd.Error t-StatisticProb.D(JPY(-1))-0.9606490.026481 -36.276440.0000C0.0035270.025489 0.1383720.8900R-squared0.480464Meandependentvar-0.000484AdjustedR-squared0.480098S.D.dependentvar1.334414S.E.ofregression0.962169Akaikeinfocriterion2.762149Sumsquaredresid1317.369Schwarzcriterion2.769534Loglikelihood-1966.031Hannan-Quinncriter.2.764907F-statistic1315.980Durbin-Watsonstat2.003086Prob(F-statistic)0.000000

Date:07/20/11Time:15:51Sample:11427Includedobservations:1426AutocorrelationPartialCorrelationACPACQ-StatProb| || |10.0390.0392.21270.137| || |20.0510.0505.92880.052*| |*| |3-0.084-0.08815.9720.001| || |40.0130.01716.2070.003| || |50.0110.01916.3730.006| || |6-0.009-0.02016.4990.011| || |7-0.005-0.00316.5350.021| || |8-0.016-0.01216.9020.031| || |90.0420.04119.4730.021| || |100.0040.00119.4910.034DependentVariable:DJPYMethod:LeastSquaresDate:07/20/11Time:15:52Sample(adjusted):51427Includedobservations:1423afteradjustmentsConvergenceachievedafter3iterations

CoefficientStd.Error t-StatisticProb.C0.0037690.025581 0.1473480.8829AR(1)0.0422080.026442 1.5962260.1107AR(2)0.0525420.026427 1.9881550.0470AR(3)-0.0880080.026434 -3.3293480.0009R-squared0.011726Meandependentvar0.003717AdjustedR-squared0.009637S.D.dependentvar0.963127S.E.ofregression0.958476Akaikeinfocriterion2.755862Sumsquaredresid1303.600Schwarzcriterion2.770649Loglikelihood-1956.796Hannan-Quinncriter.2.761385F-statistic5.612164Durbin-Watsonstat1.995686Prob(F-statistic)0.000798InvertedARRoots.26+.35i.26-.35i -.47DependentVariable:DJPYMethod:LeastSquaresDate:07/20/11Time:15:53Sample(adjusted):51427Includedobservations:1423afteradjustmentsConvergenceachievedafter3iterationsCoefficientStd.Error t-StatisticProb.C0.0037730.024639 0.1531310.8783AR(2)0.0541320.026423 2.0486680.0407AR(3)-0.0859170.026416 -3.2524770.0012R-squared0.009951Meandependentvar0.003717AdjustedR-squared0.008557S.D.dependentvar0.963127S.E.ofregression0.958998Akaikeinfocriterion2.756250Sumsquaredresid1305.941Schwarzcriterion2.767340Loglikelihood-1958.072Hannan-Quinncriter.2.760393F-statistic7.136498Durbin-Watsonstat1.911536Prob(F-statistic)0.000824InvertedARRoots.24+.35i.24-.35i -.48HeteroskedasticityTest:ARCH

F-statistic97.72172Prob.F(1,1420)0.0000Obs*R-squared91.55847Prob.Chi-Square(1)0.0000TestEquation:DependentVariable:RESIDA2Method:LeastSquaresDate:07/20/11Time:15:55Sample(adjusted):61427Includedobservations:1422afteradjustmentsCoefficientStd.Error t-StatisticProb.C0.6847130.072648 9.4250290.0000RESIDA2(-1)0.2537560.025670 9.8854300.0000R-squared0.064387Meandependentvar0.917755AdjustedR-squared0.063728S.D.dependentvar2.678019S.E.ofregression2.591282Akaikeinfocriterion4.743588Sumsquaredresid9534.934Schwarzcriterion4.750986Loglikelihood-3370.691Hannan-Quinncriter.4.746351F-statistic97.72172Durbin-Watsonstat2.060792Prob(F-statistic)0.000000DependentVariable:DJPYMethod:ML-ARCH(Marquardt)-NormaldistributionDate:07/20/11Time:15:57Sample(adjusted):51427Includedobservations:1423afteradjustmentsConvergenceachievedafter13iterationsPresamplevariance:backcast(parameter=0.7)GARCH=C(5)+C(6)*RESID(-1)A2CoefficientStd.Errorz-StatisticProb.C0.0259060.0249331.0390160.2988AR(1)0.0890120.0280063.1782980.0015AR(2)0.0185650.0197950.9378790.3483AR(3)-0.0794640.022490-3.5333850.0004VarianceEquationC0.6808040.01981734.354240.0000

RESID(-1)A20.2556580.026009 9.8295950.0000R-squared0.007915Meandependentvar0.003717AdjustedR-squared0.004415S.D.dependentvar0.963127S.E.ofregression0.960999Akaikeinfocriterion2.667634Sumsquaredresid1308.627Schwarzcriterion2.689815Loglikelihood-1892.022Hannan-Quinncriter.2.675919F-statistic2.261070Durbin-Watsonstat2.091851Prob(F-statistic)0.046239InvertedARRoots.25-.36i.25+.36i -.42DependentVariable:DJPYMethod:ML-ARCH(Marquardt)-NormaldistributionDate:07/20/11Time:15:59Sample(adjusted):51427Includedobservations:1423afteradjustmentsConvergenceachievedafter22iterationsPresamplevariance:backcast(parameter=0.7)GARCH=C(2)+C(3)*RESID(-1)A2+C(4)*RESID(-2)A2+C(5)*RESID(-3)A2+C(6)*RESID(-4)A2+C(7)*RESID(-5)A2+C(8)*RESID(-6)A2+C(9)*RESID(-7)A2CoefficientStd.Errorz-StatisticProb.AR(3)-0.0544870.030207-1.8038070.0713VarianceEquationC0.3608350.02537614.219730.0000RESID(-1)A20.1362950.0213886.3724960.0000RESID(-2)A20.0779440.0202193.8549130.0001RESID(-3)A20.1176880.0283794.1470170.0000RESID(-4)A20.0962770.0257473.7393290.0002RESID(-5)A20.0507000.0229082.2132420.0269RESID(-6)A20.0732050.0195993.7351320.0002RESID(-7)A20.0649050.0279342.3235630.0201R-squared0.006149Meandependentvar0.003717AdjustedR-squared0.000526S.D.dependentvar0.963127S.E.ofregression0.962874Akaikeinfocriterion2.588394Sumsquaredresid1310.956Schwarzcriterion2.621665Loglikelihood-1832.643Hannan-Quinncriter.2.600822Durbin-Watsonstat1.911257

InvertedARRoots.19+.33i.19-.33i-.38InvertedARRoots.19+.33i.19-.33i-.38DependentVariable:DJPYMethod:ML-ARCH(Marquardt)-NormaldistributionDate:07/20/11Time:16: