Garch Estimation

Garch Estimation - Uncond. Var 0.0001 Maximize omega 0.0000...

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Unformatted text preview: Uncond. Var 0.0001 Maximize omega 0.0000 62246.3 a 0.0796 b 0.9217 Date Rate ui vi \LN(vi)-ui^2/vi Date S&P 500 5-Jan-76 92.58 0.0001 Conditional Volatility 6-Jan-76 93.53 0.01 8.15 15.42% 7-Jan-76 93.95 9.04 15.56% 8-Jan-76 94.58 0.01 8.81 15.13% 9-Jan-76 94.95 9.16 14.90% 12-Jan-76 96.33 0.01 6.85 14.47% 13-Jan-76 95.57-0.01 8.61 15.41% 14-Jan-76 97.13 0.02 6.41 15.27% 15-Jan-76 96.61-0.01 8.87 16.44% 16-Jan-76 97 9.03 16.02% 19-Jan-76 98.32 0.01 7.32 15.55% 20-Jan-76 98.86 0.01 8.88 16.18% 21-Jan-76 98.24-0.01 8.82 15.79% 22-Jan-76 98.04 9.22 15.47% 23-Jan-76 99.21 0.01 7.72 14.95% 26-Jan-76 99.68 9.04 15.37% 27-Jan-76 99.07-0.01 8.91 14.97% 28-Jan-76 98.53-0.01 9.02 14.70% 29-Jan-76 100.11 0.02 6.28 14.38% 30-Jan-76 100.86 0.01 8.66 15.63% 2-Feb-76 100.87 9.27 15.43% 3-Feb-76 101.18 9.23 14.88% 4-Feb-76 101.91 0.01 8.77 14.41% 5-Feb-76 100.39-0.01 6.67 14.28% 6-Feb-76 99.46-0.01 8.36 15.31% 9-Feb-76 99.62 9.25 15.33% 10-Feb-76 100.47 0.01 8.51 14.80% 11-Feb-76 100.77 9.25 14.78% 12-Feb-76 100.25-0.01 9.09 14.31% 13-Feb-76 99.67-0.01 9.03 14.00% 17-Feb-76 99.05-0.01 8.98 13.76% 18-Feb-76 99.85 0.01 8.63 13.57% 19-Feb-76 101.41 0.02 6.19 13.59% 20-Feb-76 102.1 0.01 8.81 14.87% 23-Feb-76 101.61 9.1 14.66% 24-Feb-76 102.03 9.21 14.30% 25-Feb-76 101.69 9.33 13.92% 26-Feb-76 100.11-0.02 6.2 13.52% 27-Feb-76 99.71 9.17 14.79% 1-Mar-76 100.02 9.29 14.37% 2-Mar-76 100.58 0.01 9.06 13.94% 3-Mar-76 99.98-0.01 9.03 13.68% 4-Mar-76 98.92-0.01 7.98 13.47% 5-Mar-76 99.11 9.44 13.85% 23-Jan-76 8-Oct-76 27-Jun-77 15-Mar-78 0.00% 20.00% 40.00% 60.00% 80.00% 100.00% 120.00% 8-Mar-76 100.19 0.01 7.88 13.39% 9-Mar-76 100.58 9.29 13.82% 10-Mar-76 100.94 9.36 13.45% 11-Mar-76 101.89 0.01 8.29 13.08% 12-Mar-76 100.86-0.01 8.11 13.32% 15-Mar-76 99.8-0.01 8.02 13.63% 16-Mar-76 100.92 0.01 7.84 13.98% 17-Mar-76 100.86 9.4 14.39% 18-Mar-76 100.45 9.26 13.89% 19-Mar-76 100.58 9.51 13.53% 22-Mar-76 100.71 9.57 13.07% 23-Mar-76 102.24 0.02 6.02 12.63% 24-Mar-76 103.42 0.01 7.75 13.98% 25-Mar-76 102.85-0.01 9.03 14.44% 26-Mar-76 102.85 9.44 14.15% 29-Mar-76 102.41 9.26 13.65% 30-Mar-76 102.01 9.34 13.32% 31-Mar-76 102.77 0.01 8.78 12.98% 1-Apr-76 102.24-0.01 9.22 12.97% 2-Apr-76 102.25 9.65 12.74% 5-Apr-76 103.51 0.01 7.19 12.30% 6-Apr-76 103.36 9.56 13.11% 7-Apr-76 102.21-0.01 7.72 12.68% 8-Apr-76 101.28-0.01 8.38 13.22% 9-Apr-76 100.35-0.01 8.37 13.40% 12-Apr-76 100.2 9.49 13.58% 13-Apr-76 101.05 0.01 8.54 13.12% 14-Apr-76 100.31-0.01 8.8 13.23% 15-Apr-76 100.67 9.39 13.19% 19-Apr-76 101.44 0.01 8.74 12.83% 20-Apr-76 102.87 0.01 6.6 12.86% 21-Apr-76 103.32 9.22 13.94% 22-Apr-76 102.98 9.37 13.59% 23-Apr-76 102.29-0.01 8.93 13.20% 26-Apr-76 102.43 9.57 13.09% 27-Apr-76 101.86-0.01 9.18 12.66% 28-Apr-76 102.13 9.58 12.48% 29-Apr-76 102.13 9.75 12.12% 30-Apr-76 101.64 9.4 11.71% 3-May-76 100.92-0.01 8.9 11.53% 4-May-76 101.46 0.01 9.3 11.60% 5-May-76 100.88-0.01 9.23 11.47% 6-May-76 101.16 9.73 11.39% 7-May-76 101.88 0.01 8.89 11.09% 10-May-76 103.1 0.01 7.03 11.19% 11-May-76...
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This note was uploaded on 12/14/2011 for the course FIN 5515 taught by Professor Staff during the Spring '10 term at FSU.

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Garch Estimation - Uncond. Var 0.0001 Maximize omega 0.0000...

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