2013-07-18_GARCH_example

108e 02 82693 2e 16 signif codes 0 0001 001

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Unformatted text preview: .38454 Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 1.973e-06 3.924e-07 5.029 4.93e-07 *** a1 6.530e-02 9.144e-03 7.141 9.24e-13 *** b1 9.162e-01 1.108e-02 82.693 < 2e-16 *** --Signif. codes: 0 ‘***‘ 0.001 ‘**‘ 0.01 ‘*‘ 0.05 ‘.‘ 0.1 ‘ ‘ 1 GARCH model for DAX time series ...fitting GARCH(1,1) model without outlier Diagnostic Tests: Jarque Bera Test data: Residuals X-squared = 268.1441, df = 2, p-value < 2.2e-16 Box-Ljung test data: Squared.Residuals X-squared = 1.3297, df = 1, p-value = 0.2489 GARCH model for DAX time series 4 2 0 −2 −4 garch11out$residuals 6 Plot of standardized residuals (model garch11out) 0 500 1000 1500 Time GARCH model for DAX time series 0.4 0.2 0.0 Density 0.6 0.8 Histogram of standardized residuals (model garch11out) −4 −2 0 2 4 garch11out$residuals GARCH model for DAX time series 6 Normal Q-Q plot of standardized residuals (model garch11out) Normal Q−Q Plot 4 2 0 −2 −4 Sample Quantiles 6 q q q qq q qq qq qq q q qq qq qqq qqq qqq qqq qq qq qq qqq qqq qqq qqq qqq qqq qqq qqq qq qq qq qq qq qq qq qqq qqq qqq qqq qqq qqq q q q q q qqq qqq qqq qqq qqq qqq qq qqq qqq qqq qqq qqq qqqq qqqq qqq qqq qqq qqqq qqq qqq qqq qqq qqq qqq q qq qq qq qq qq qq qqq qqq qqq qqq qqq qq qq qq qq qqq qqq qq qq qq qq qq qq qq qq qq qq q q qq qq qq qq qq qq qq qq qq qq...
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This note was uploaded on 08/04/2013 for the course ECON 201 taught by Professor Vandewaal during the Spring '09 term at Waterloo.

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