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Date KSE FTSE LOG KSE LOG FTSE R KSE R FTSE
12/31/1997 5135.5 1753.82 8.54 7.47
1/2/1998 5458.5 1609.16 8.6 7.38 0.01 -0.01
2/2/1998 5767.3 1681.83 8.66 7.43 0.01 0.01
3/2/1998 5932.2 1553.06 8.69 7.35 0 -0.01
4/1/1998 5928.3 1562.22 8.69 7.35 0 0
5/1/1998 5870.7 1040.19 8.68 6.95 0 -0.06
6/1/1998 5832.5 879.61 8.67 6.78 0 -0.02
7/1/1998 5837 920.48 8.67 6.82 0 0.01
8/3/1998 5249.4 970.78 8.57 6.88 -0.01 0.01
9/1/1998 5064.4 1111.46 8.53 7.01 0 0.02
10/1/1998 5438.4 841.7 8.6 6.74 0.01 -0.04
11/2/1998 5743.9 1050.97 8.66 6.96 0.01 0.03
12/1/1998 5882.6 945.24 8.68 6.85 0 -0.02
1/4/1999 5896 900.58 8.68 6.8 0 -0.01
2/1/1999 6175.1 926.21 8.73 6.83 0.01 0
3/1/1999 6295.3 1056.75 8.75 6.96 0 0.02
4/1/1999 6552.2 1107.02 8.79 7.01 0 0.01
5/4/1999 6226.2 1222 8.74 7.11 -0.01 0.01
6/1/1999 6318.5 1054.67 8.75 6.96 0 -0.02
7/1/1999 6231.9 1251.79 8.74 7.13 0 0.02
8/2/1999 6246.4 1206.51 8.74 7.1 0 -0.01
9/1/1999 6029.8 1199.29 8.7 7.09 0 0
10/1/1999 6255.7 1189.32 8.74 7.08 0 0
11/1/1999 6597.2 1247.4 8.79 7.13 0.01 0.01
12/1/1999 6930.2 1408.91 8.84 7.25 0.01 0.02
1/4/2000 6268.5 1772.84 8.74 7.48 -0.01 0.032/1/2000 6232.6 1930.61 8.74 7.57 0 0.01
3/1/2000 6540.2 1999.69 8.79 7.6 0.01 0
4/3/2000 6327.4 1901.07 8.75 7.55 0 -0.01
5/2/2000 6359.3 1536.65 8.76 7.34 0 -0.03
6/1/2000 6312.7 1520.73 8.75 7.33 0 0
7/3/2000 6365.3 1554.9 8.76 7.35 0 0
8/1/2000 6672.7 1518.27 8.81 7.33 0.01 0
9/1/2000 6294.2 1564.78 8.75 7.36 -0.01 0
10/2/2000 6438.4 1489.32 8.77 7.31 0 -0.01
11/1/2000 6142.2 1276.05 8.72 7.15 -0.01 -0.0212/1/2000 6222.5 1507.59 8.74 7.32 0 0.02
1/2/2001 6297.5 1461.6 8.75 7.29 0 0
2/1/2001 5917.9 1423.18 8.69 7.26 -0.01 0
3/1/2001 5633.7 1324.41 8.64 7.19 -0.01 -0.01
4/2/2001 5966.9 1367.05 8.69 7.22 0.01 0
5/1/2001 5796.1 1377.61 8.66 7.23 0 0
6/1/2001 5642.5 1366.43 8.64 7.22 0 0
7/2/2001 5529.1 1228.89 8.62 7.11 0 -0.01
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8/1/2001 5345 1258.43 8.58 7.14 0 0
9/3/2001 4903.4 1133.43 8.5 7.03 -0.01 -0.01
10/1/2001 5039.7 1406.05 8.53 7.25 0 0.03
11/1/2001 5203.6 1358.16 8.56 7.21 0 0
12/3/2001 5217.4 1273.06 8.56 7.15 0 -0.01
1/2/2002 5164.8 1620.18 8.55 7.39 0 0.03
2/1/2002 5101 1765.95 8.54 7.48 0 0.01
3/1/2002 5271.8 1868.11 8.57 7.53 0 0.01
4/2/2002 5165.6 1898.95 8.55 7.55 0 0
5/1/2002 5085.1 1663.34 8.53 7.42 0 -0.02
6/5/2002 4656.4 1770.11 8.45 7.48 -0.01 0.01
7/1/2002 4246.2 1787.59 8.35 7.49 -0.01 0
8/1/2002 4227.3 1974.58 8.35 7.59 0 0.01
9/2/2002 3721.8 2018.75 8.22 7.61 -0.02 0
10/1/2002 4039.7 2278.54 8.3 7.73 0.01 0.02
11/1/2002 4169.4 2285.87 8.34 7.73 0 0
12/2/2002 3940.4 2701.41 8.28 7.9 -0.01 0.02
1/2/2003 3567.4 2545.07 8.18 7.84 -0.01 -0.01
2/3/2003 3655.6 2399.14 8.2 7.78 0 -0.01
3/3/2003 3613.3 2715.71 8.19 7.91 0 0.02
4/1/2003 3926 2902.41 8.28 7.97 0.01 0.01
5/1/2003 4048.1 3099.04 8.31 8.04 0 0.01
6/2/2003 4031.2 3402.47 8.3 8.13 0 0.01
7/1/2003 4157 3933.37 8.33 8.28 0 0.02
8/1/2003 4161.1 4461.47 8.33 8.4 0 0.02
9/1/2003 4091.3 4027.34 8.32 8.3 0 -0.01
10/1/2003 4287.6 3781.03 8.36 8.24 0.01 -0.01
11/3/2003 4342.6 4068.29 8.38 8.31 0 0.01
12/1/2003 4476.9 4471.6 8.41 8.41 0 0.01
1/2/2004 4390.7 4841.33 8.39 8.48 0 0.01
2/2/2004 4492.2 4840.37 8.41 8.48 0 0
3/1/2004 4385.7 5106.66 8.39 8.54 0 0.01
4/1/2004 4489.7 5430.43 8.41 8.6 0 0.01
5/4/2004 4430.7 5497.79 8.4 8.61 0 0
6/1/2004 4464.1 5279.18 8.4 8.57 0 0
7/1/2004 4413.1 5289.92 8.39 8.57 0 0
8/2/2004 4459.3 5346.15 8.4 8.58 0 0
9/1/2004 4570.8 5217.65 8.43 8.56 0 0
10/1/2004 4624.2 5332.24 8.44 8.58 0 0
11/1/2004 4703.2 5567.79 8.46 8.62 0 0.01
12/1/2004 4814.3 6218.4 8.48 8.74 0 0.01
1/4/2005 4852.3 6747.39 8.49 8.82 0 0.01
2/1/2005 4968.5 8260.06 8.51 9.02 0 0.02
3/1/2005 4894.4 7770.33 8.5 8.96 0 -0.01
4/1/2005 4801.7 7104.65 8.48 8.87 0 -0.01
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5/3/2005 4964 6857.67 8.51 8.83 0 0
6/1/2005 5113.2 7450.12 8.54 8.92 0 0.01
7/1/2005 5282.3 7178.93 8.57 8.88 0 0
8/1/2005 5296.9 7796.86 8.57 8.96 0 0.01
9/1/2005 5477.7 8225.66 8.61 9.02 0 0.01
10/3/2005 5317.3 8247.37 8.58 9.02 0 0
11/1/2005 5423.2 9026.59 8.6 9.11 0 0.01
12/1/2005 5618.8 9556.61 8.63 9.16 0 0.01
1/3/2006 5760.3 10523.37 8.66 9.26 0 0.01
2/1/2006 5791.5 11456.12 8.66 9.35 0 0.01
3/1/2006 5964.6 11485.9 8.69 9.35 0 0
4/3/2006 6023.1 11342.17 8.7 9.34 0 0
5/2/2006 5723.8 9800.69 8.65 9.19 -0.01 -0.02
6/1/2006 5833.4 9989.41 8.67 9.21 0 0
7/3/2006 5928.3 10497.66 8.69 9.26 0 0.01
8/1/2006 5906.1 10063.54 8.68 9.22 0 0
9/1/2006 5960.8 10512.52 8.69 9.26 0 0
10/2/2006 6129.2 11327.71 8.72 9.34 0 0.01
11/1/2006 6048.8 10619.47 8.71 9.27 0 -0.01
12/1/2006 6220.8 10040.5 8.74 9.21 0 -0.01
1/2/2007 6203.1 11272.33 8.73 9.33 0 0.01
2/1/2007 6171.5 11180.02 8.73 9.32 0 0
3/1/2007 6308 11271.59 8.75 9.33 0 0
4/2/2007 6449.2 12369.7 8.77 9.42 0 0.01
5/1/2007 6621.4 12961.14 8.8 9.47 0 0
6/1/2007 6607.9 13772.46 8.8 9.53 0 0.01
7/2/2007 6360.1 13739.53 8.76 9.53 0 0
8/1/2007 6303.3 12214.26 8.75 9.41 0 -0.01
9/3/2007 6466.8 13353.68 8.77 9.5 0 0.01
10/1/2007 6721.6 14321.39 8.81 9.57 0 0.01
11/1/2007 6432.5 13998.52 8.77 9.55 -0.01 0
12/3/2007 6456.9 14077.16 8.77 9.55 0 0
1/2/2008 5879.8 14016.94 8.68 9.55 -0.01 0
2/1/2008 5884.3 14934.3 8.68 9.61 0 0.01
3/3/2008 5702.1 15125.89 8.65 9.62 0 0
4/1/2008 6087.3 15122.47 8.71 9.62 0.01 0
5/1/2008 6053.5 12130.51 8.71 9.4 0 -0.02
6/2/2008 5625.9 12289.03 8.64 9.42 -0.01 0
7/1/2008 5411.9 10583.58 8.6 9.27 0 -0.02
8/1/2008 5636.6 9208.26 8.64 9.13 0 -0.02
9/1/2008 4902.5 9179.68 8.5 9.12 -0.02 0
10/1/2008 4377.3 9182.88 8.38 9.13 -0.01 0
11/3/2008 4288 9187.1 8.36 9.13 0 0
12/1/2008 4434.2 5865.01 8.4 8.68 0 -0.05
1/2/2009 4149.6 5377.42 8.33 8.59 -0.01 -0.01
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2/2/2009 3830.1 5727.46 8.25 8.65 -0.01 0.01
3/2/2009 3926.1 6860.22 8.28 8.83 0 0.02
4/1/2009 4243.7 7202.1 8.35 8.88 0.01 0.01
5/1/2009 4417.9 7276.61 8.39 8.89 0 0
6/1/2009 4249.2 7162.18 8.35 8.88 0 0
7/1/2009 4608.4 7720.93 8.44 8.95 0.01 0.01
8/3/2009 4908.9 8675.67 8.5 9.07 0.01 0.01
9/1/2009 5133.9 9349.67 8.54 9.14 0.01 0.01
10/1/2009 5044.5 9159.18 8.53 9.12 0 0
11/2/2009 5190.7 9206.21 8.55 9.13 0 0
12/1/2009 5412.9 9386.92 8.6 9.15 0 0
1/4/2010 5188.5 9614.19 8.55 9.17 0 0
2/1/2010 5354.5 9657.79 8.59 9.18 0 0
3/1/2010 5679.6 10178.43 8.64 9.23 0.01 0.01
4/1/2010 5553.3 10428.12 8.62 9.25 0 0
5/4/2010 5188.4 9326.42 8.55 9.14 -0.01 -0.01
6/1/2010 4916.9 9721.91 8.5 9.18 -0.01 0
7/1/2010 5258 10519.02 8.57 9.26 0.01 0.01
8/2/2010 5225.2 9813.05 8.56 9.19 0 -0.01
9/1/2010 5548.6 10013.31 8.62 9.21 0.01 0
10/1/2010 5675.2 10598.4 8.64 9.27 0 0.01
11/1/2010 5528.3 11234.76 8.62 9.33 0 0.01
12/1/2010 5899.9 12022.46 8.68 9.39 0.01 0.01
1/4/2011 5862.9 12359.36 8.68 9.42 0 0
2/1/2011 5994 11289.22 8.7 9.33 0 -0.01
3/1/2011 5908.8 11809.54 8.68 9.38 0 0
4/1/2011 5996 11684.23 8.7 9.37 0 0
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LOG KSE LOG FTSE
Mean 8.58 Mean 8.34
Standard Error 0.01 Standard Error 0.07
Median 8.62 Median 8.58
Mode 8.69 Mode #N/A
Standard Deviatio 0.16 Standard Deviatio 0.93
Sample Variance 0.03 Sample Variance 0.87
Kurtosis -0.62 Kurtosis -1.55
Skewness -0.6 Skewness -0.25
Range 0.66 Range 2.89
Minimum 8.18 Minimum 6.74
Maximum 8.84 Maximum 9.62
Sum 1381.36 Sum 1342.43
Count 161 Count 161
KSE FTSE
KSE 1FTSE 0.17 1
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AUTO REGGR-1
Dependent Variable: SER01
Method: Least Squares
Date: 05/25/11 Time: 18:20
Sample (adjusted): 2 160
Included observations: 159 after adjustments
Variable CoefficientStd. Error t-Statistic
C 6.04E-05 0 0.15
SER01(-1) 0.08 0.08 0.98
R-squared 0.01 Mean dependent var
Adjusted R-squared 0 S.D. dependent var
S.E. of regression 0.01 Akaike info criterion
Sum squared resid 0 Schwarz criterion
Log likelihood 614.31 Hannan-Quinn criter.
F-statistic 0.95 Durbin-Watson statProb(F-statistic) 0.33
ARCH Effect
Heteroskedasticity Test: ARCH
F-statistic 5.18 Prob. F(1,156)
Obs*R-squared 5.08 Prob. Chi-Square(1)
Test Equation:Dependent Variable: RESID^2
Method: Least Squares
Date: 05/25/11 Time: 18:21
Sample (adjusted): 3 160
Included observations: 158 after adjustments
Variable CoefficientStd. Error t-Statistic
C 2.11E-05 3.89E-06 5.42
RESID^2(-1) 0.18 0.08 2.28
R-squared 0.03 Mean dependent var
Adjusted R-squared 0.03 S.D. dependent var
S.E. of regression 4.16E-05 Akaike info criterion
Sum squared resid 2.70E-07 Schwarz criterion
Log likelihood 1370.52 Hannan-Quinn criter.
F-statistic 5.18 Durbin-Watson stat
Prob(F-statistic) 0.02
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ARCH MODEL
Dependent Variable: SER01
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/25/11 Time: 18:22
Sample (adjusted): 2 160
Included observations: 159 after adjustments
Convergence achieved after 20 iterationsPresample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2
Variable CoefficientStd. Error z-Statisti
C 0 0 0.32
SER01(-1) 0.05 0.09 0.56
Variance Equation
C 2.24E-05 2.99E-06 7.48
RESID(-1)^2 0.13 0.11 1.13
R-squared 0 Mean dependent var
Adjusted R-squared 0 S.D. dependent var
S.E. of regression 0.01 Akaike info criterion
Sum squared resid 0 Schwarz criterion
Log likelihood 615.92 Hannan-Quinn criter.
Durbin-Watson stat 1.94
GARCH MODEL
Dependent Variable: SER01
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/25/11 Time: 18:23
Sample (adjusted): 2 160
Included observations: 159 after adjustments
Convergence achieved after 30 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable CoefficientStd. Error z-Statisti
C 0 0 0.85
SER01(-1) -0.01 0.08 -0.15
Variance Equation
C 1.99E-06 1.98E-06 1
RESID(-1)^2 0.18 0.07 2.64
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GARCH(-1) 0.75 0.12 6.11
R-squared -0.01 Mean dependent var
Adjusted R-squared -0.01 S.D. dependent var
S.E. of regression 0.01 Akaike info criterion
Sum squared resid 0 Schwarz criterion
Log likelihood 622.54 Hannan-Quinn criter.
Durbin-Watson stat 1.82
GARCH MODEL WITH OTHER VARIABLE
Dependent Variable: SER01
Method: ML - ARCH (Marquardt) - Normal distribution
Date: 05/25/11 Time: 18:25
Sample (adjusted): 2 160
Included observations: 159 after adjustments
Convergence achieved after 25 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) + C(6)*SER02
Variable CoefficientStd. Error z-Statisti
C 0 0 1.12
SER01(-1) -0.03 0.09 -0.36
Variance Equation
C 2.08E-06 1.66E-06 1.25
RESID(-1)^2 0.18 0.08 2.46GARCH(-1) 0.75 0.11 7.1
SER02 0 9.99E-05 -1.82
R-squared -0.01 Mean dependent var
Adjusted R-squared -0.02 S.D. dependent var
S.E. of regression 0.01 Akaike info criterion
Sum squared resid 0 Schwarz criterion
Log likelihood 624.63 Hannan-Quinn criter.
Durbin-Watson stat 1.79
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Prob.
0.88
0.33
6.83E-05
0.01
-7.7
-7.66
-7.69
2
0.02
0.02
Prob.
0
0.02
2.58E-05
4.22E-05
-17.32
-17.28
-17.31
2.01
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Prob.
0.75
0.58
0
0.26
6.83E-05
0.01
-7.7
-7.62
-7.67
Prob.
0.4
0.88
0.32
0.01
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0
6.83E-05
0.01
-7.77
-7.67
-7.73
Prob.
0.26
0.72
0.21
0.010
0.07
6.83E-05
0.01
-7.78
-7.67
-7.73
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Null Hypothesis: SER01 has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -1.64 0.77
Test critical values: 1% level -4.02
5% level -3.44
10% level -3.14
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SER01)
Method: Least Squares
Date: 05/25/11 Time: 18:40
Sample (adjusted): 2 161
Included observations: 160 after adjustments
Variable CoefficienStd. Error t-Statistic Prob.
SER01(-1) -0.04 0.02 -1.64 0.1C 0.31 0.19 1.64 0.1
-1.#NAN 2.13E-06 7.54E-05 0.03 0.98
R-squared 0.02 Mean dependent 0
Adjusted R-squared 0 S.D. dependent v 0.04
S.E. of regression 0.04 Akaike info criteri -3.41
Sum squared resid 0.3 Schwarz criterion -3.35
Log likelihood 275.72 Hannan-Quinn cri -3.39
F-statistic 1.38 Durbin-Watson st 1.8
Prob(F-statistic) 0.25
DIFFERENCE 1
Null Hypothesis: D(SER01) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 0 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
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Augmented Dickey-Fuller test statistic -11.67 0
Test critical values: 1% level -4.02
5% level -3.44
10% level -3.14
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SER01,2)
Method: Least Squares
Date: 05/25/11 Time: 18:41
Sample (adjusted): 3 161
Included observations: 159 after adjustments
Variable CoefficienStd. Error t-Statistic Prob.
D(SER01(-1)) -0.93 0.08 -11.67 0
C 0 0.01 -0.31 0.76
-1.#NAN 3.31E-05 7.55E-05 0.44 0.66
R-squared 0.47 Mean dependent 0
Adjusted R-squared 0.46 S.D. dependent v 0.06
S.E. of regression 0.04 Akaike info criteri -3.4
Sum squared resid 0.3 Schwarz criterion -3.35
Log likelihood 273.62 Hannan-Quinn cri -3.38
F-statistic 68.09 Durbin-Watson st 2Prob(F-statistic) 0
Null Hypothesis: D(SER01,2) has a unit root
Exogenous: Constant, Linear Trend
Lag Length: 2 (Automatic - based on SIC, maxlag=13)
t-Statistic Prob.*
Augmented Dickey-Fuller test statistic -14.56 0
Test critical values: 1% level -4.02
5% level -3.44
10% level -3.14
*MacKinnon (1996) one-sided p-values.
Augmented Dickey-Fuller Test Equation
Dependent Variable: D(SER01,3)
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Method: Least Squares
Date: 05/25/11 Time: 18:43
Sample (adjusted): 6 161
Included observations: 156 after adjustments
Variable CoefficienStd. Error t-Statistic Prob.
D(SER01(-1),2) -2.72 0.19 -14.56 0D(SER01(-1),3) 0.99 0.14 7.23 0
D(SER01(-2),3) 0.39 0.07 5.27 0
C 0 0.01 -0.29 0.78
-1.#NAN 2.23E-05 8.34E-05 0.27 0.79
R-squared 0.79 Mean dependent 0
Adjusted R-squared 0.79 S.D. dependent v 0.1
S.E. of regression 0.05 Akaike info criteri -3.25
Sum squared resid 0.33 Schwarz criterion -3.15
Log likelihood 258.51 Hannan-Quinn cri -3.21F-statistic 142.77 Durbin-Watson st 2.11
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COINTEGRATION ANALYSIS (KSE & FTSE)Date: 05/25/11 Time: 18:47
Sample (adjusted): 6 161
Included observations: 156 after adjustments
Trend assumption: Linear deterministic trend
Series: SER01 SER02
Lags interval (in first differences): 1 to 4
Unrestricted Cointegration Rank Test (Trace)
Hypothesized Trace
No. of CE(s) EigenvalueStatistic
None 0.05 8.9
At most 1 0.01 1.2
Trace test indicates no cointegration at the 0.05 level* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegration Rank Test (Maximum Eigenvalue)
Hypothesized Max-Eigen
No. of CE(s) EigenvalueStatistic
None 0.05 7.71
At most 1 0.01 1.2
Max-eigenvalue test indicates no cointegration at the 0.05 level
* denotes rejection of the hypothesis at the 0.05 level
**MacKinnon-Haug-Michelis (1999) p-values
Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):
SER01 SER02
-6.58 -0.26
1.18 -1.07
Unrestricted Adjustment Coefficients (alpha):
D(SER01) 0.01 0
D(SER02) 0.02 0
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1 Cointegrating Equation(s): Log likelihood
Normalized cointegrating coefficients (standard error in parentheses)
SER01 SER02
1 0.04
-0.06
Adjustment coefficients (standard error in parentheses)D(SER01) -0.03
-0.02
D(SER02) -0.13
-0.05
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0.05
Critical Valu Prob.**
15.49 0.37
3.84 0.27
0.05
Critical Valu Prob.**
14.26 0.41
3.84 0.27
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418
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Granger Causality Tests
Pairwise Granger Causality Tests
Date: 05/25/11 Time: 18:52
Sample: 1 161
Lags: 2
Null Hypothesis: Obs F-StatisticProb.
SER02 does not Granger Cause SER01 158 2.27 0.11
SER01 does not Granger Cause SER02 0.6 0.55
Vector Autoregression Estimates
Date: 05/25/11 Time: 18:53
Sample (adjusted): 3 160
Included observations: 158 after adjustments
Standard errors in ( ) & t-statistics in [ ]
SER01 SER02
SER01(-1) 0.05 0.16
-0.08 -0.2
[ 0.64158[ 0.78742]
SER01(-2) -0.09 0.14
-0.08 -0.2
[-1.14672[ 0.70821]
SER02(-1) 0.05 0
-0.03 -0.08
[ 1.48307[-0.04677]
SER02(-2) 0.05 0.03
-0.03 -0.08
[ 1.54624[ 0.36993]
C 0 0
0 0
[-0.25543[ 1.34726]
R-squared 0.04 0.01
Adj. R-squared 0.01 -0.02
Sum sq. resids 0 0.03
S.E. equation 0.01 0.01
F-statistic 1.54 0.37
Log likelihood 613.36 465.16
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Akaike AIC -7.7 -5.82
Schwarz SC -7.6 -5.73
Mean dependent 2.84E-05 0
S.D. dependent 0.01 0.01
Determinant resid covariance (dof adj.) 4.28E-09
Determinant resid covariance 4.01E-09
Log likelihood 1079.04Akaike information criterion -13.53
Schwarz criterion -13.34
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Response of SER01:
Period SER01 SER02
1 0.01 0
0 0
2 0 0
0 0
3 0 0
0 0
4 3.12E-05 -8.35E-07
0 0
5 7.34E-05 -2.73E-05
-8.30E-05 -7.80E-05
6 3.29E-07 1.30E-05
-1.70E-05 -2.00E-05
7 -6.92E-06 8.47E-06
-1.60E-05 -1.30E-05
-.002
.000
.002
.004
.006
1 2 3 4 5 6 7 8 9 10
Response of SER01 to SER01
-.002
.000
.002
.004
.006
1 2 3 4 5 6
Respons e of SER01
-.004
.000
.004
.008
.012
.016
1 2 3 4 5 6 7 8 9 10
Response of SER02 to SER01
-.004
.000
.004
.008
.012
.016
1 2 3 4 5 6
Respons e of SER02
Response to Cholesky One S.D. Innovations ± 2 S.E.
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8 8.90E-07 -6.44E-07
-3.50E-06 -3.70E-06
9 1.13E-06 -5.80E-07
-2.70E-06 -2.10E-06
10-7.85E-08 2.41E-07
-5.30E-07 -6.30E-07
Response of SER02:Period SER01 SER02
1 0 0.01
0 0
2 0 -4.88E-05
0 0
3 0 0
0 0
4 8.52E-06 0
0 05 -2.17E-05 0
0 0
6 1.66E-05 7.46E-07
-3.30E-05 -3.90E-05
7 9.85E-06 1.41E-06
-2.30E-05 -2.10E-05
8 -6.05E-07 3.24E-06
-4.60E-06 -6.80E-06
9 -5.51E-07 1.14E-06
-2.70E-06 -3.10E-0610 2.92E-07 -9.27E-08
-8.80E-07 -1.00E-06
Cholesky Ordering: SER01 SER02
Standard Errors: Analytic
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7 8 9 10
to SER02
7 8 9 10
to SER02
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Variance Decomposition of SER01:
Period S.E. SER01 SER02
1 0.01 100 0
2 0.01 98.59 1.41
3 0.01 96.99 3.01
4 0.01 96.99 3.015 0.01 96.99 3.01
6 0.01 96.99 3.01
7 0.01 96.99 3.01
8 0.01 96.99 3.01
9 0.01 96.99 3.01
10 0.01 96.99 3.01
Variance Decomposition of SER02:
Period S.E. SER01 SER02
1 0.01 0.66 99.34
2 0.01 1.05 98.95
3 0.01 1.42 98.58
4 0.01 1.42 98.58
5 0.01 1.42 98.58
6 0.01 1.42 98.58
7 0.01 1.42 98.58
8 0.01 1.42 98.58
9 0.01 1.42 98.58
10 0.01 1.42 98.58
Cholesky Ordering: SER01 SER02