View
28
Download
0
Category
Preview:
DESCRIPTION
Gas furnace data, cont. How should the sample cross correlations between the prewhitened series be interpreted?. pwgas
Citation preview
Gas furnace data, cont.
How should the sample cross correlations between the prewhitened series be interpreted?
pwgas<-prewhiten(gasrate,CO2,ylab="CCF")print(pwgas)$ccf
Autocorrelations of series ‘X’, by lag
-21 -20 -19 -18 -17 -16 -15 -14 -13 -12 -11 -10 -9 -8 -7 -6 -5 -4 -3 -0.069 -0.044 -0.060 -0.092 -0.073 -0.069 -0.053 -0.015 -0.054 -0.026 -0.059 -0.060 -0.081 -0.141 -0.208 -0.299 -0.318 -0.292 -0.226 -2 -1 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 -0.116 -0.077 -0.083 -0.108 -0.093 -0.073 -0.058 -0.018 -0.013 -0.030 -0.077 -0.065 -0.045 0.039 0.047 0.067 0.041 -0.004 -0.026 17 18 19 20 21 -0.058 -0.060 -0.038 -0.091 -0.075
$model
Call:ar.ols(x = x)
Coefficients: 1 2 1.0467 -0.2131
Intercept: -0.2545 (2.253)
Order selected 2 sigma^2 estimated as 1492
k = –3
What does this say about
t
br
r
ss
tb XB
BB
BBCXB
B
BC
1
1
1
1
Since the first significant spike occurs at k = –3 it is natural to set b = 3
tr
r
ss XBBB
BBC 3
1
1
1
1
Rules-of-thumb:
•The order of the numerator polynomial, i.e. s is decided upon how many significant spikes there are after the first signifikant spike and before the spikes start to die down. s =2•The order of the denominator polynomial, i.e. r is decided upon how the spikes are dying down. exponential : choose r = 1 damped sine wave: choose r = 2 cuts of after lag b + s : choose r = 0 r = 1
Using the arimax command we can now try to fit this model without specifying any ARMA-structure in the full model
and then fit an ARMA to the residuals.
tXB
B
BBC 3
1
221
1
1
tt
bt e
B
BXB
B
BCY
0
Alternatively we can expand
to get an infinite terms expression
tXB
B
BBC 3
1
221
1
1
tt XBBBBCXBBBBC 63
52
41
3333
2211
in which we cut the terms corresponding with lags after the last lag with a significant spike in the sample CCF.
The last significant spike is for k = –8
867564534231
85
74
63
52
41
3
tttttt
t
XXXXXX
XBBBBBBC
Hence, we can use OLS (lm) to fit the temporary model
and then model the residuals with a proper ARMA-model
tttttttt XXXXXXY 8675645342310
model1_temp2 <- lm(CO2[1:288]~gasrate[4:291]+gasrate[5:292]+gasrate[6:293]+gasrate[7:294]+gasrate[8:295]+gasrate[9:296])summary(model1_temp2)
Call:lm(formula = CO2[1:288] ~ gasrate[4:291] + gasrate[5:292] + gasrate[6:293] + gasrate[7:294] + gasrate[8:295] + gasrate[9:296])
Residuals: Min 1Q Median 3Q Max -7.1044 -2.1646 -0.0916 2.2088 6.9429
Coefficients: Estimate Std. Error t value Pr(>|t|) (Intercept) 53.3279 0.1780 299.544 < 2e-16 ***gasrate[4:291] -2.7983 0.9428 -2.968 0.00325 ** gasrate[5:292] 3.2472 2.0462 1.587 0.11365 gasrate[6:293] -0.8936 2.3434 -0.381 0.70325 gasrate[7:294] -0.3074 2.3424 -0.131 0.89570 gasrate[8:295] -0.6443 2.0453 -0.315 0.75300 gasrate[9:296] 0.3574 0.9427 0.379 0.70491 ---Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 3.014 on 281 degrees of freedomMultiple R-squared: 0.1105, Adjusted R-squared: 0.09155 F-statistic: 5.82 on 6 and 281 DF, p-value: 9.824e-06
acf(rstudent(model1_temp2))pacf(rstudent(model1_temp2))
AR(2) or AR(3), probably AR(2)
model1_gasfurnace <- arima(CO2[1:288],order=c(2,0,0),xreg=data.frame(gasrate_3=gasrate[4:291],gasrate_4=gasrate[5:292],gasrate_5=gasrate[6:293],gasrate_6=gasrate[7:294],gasrate_7=gasrate[8:295],gasrate_8=gasrate[9:296]))print(model1_gasfurnace)
Call:arimax(x = CO2[1:288], order = c(2, 0, 0), xreg = data.frame(gasrate_3 = gasrate[4:291], gasrate_4 = gasrate[5:292], gasrate_5 = gasrate[6:293], gasrate_6 = gasrate[7:294], gasrate_7 = gasrate[8:295], gasrate_8 = gasrate[9:296]))
Coefficients: ar1 ar2 intercept gasrate_3 gasrate_4 gasrate_5 gasrate_6 gasrate_7 gasrate_8 1.8314 -0.8977 53.3845 -0.3382 -0.2347 -0.1517 -0.3673 -0.2474 -0.3395s.e. 0.0259 0.0263 0.3257 0.1151 0.1145 0.1111 0.1109 0.1139 0.1119
sigma^2 estimated as 0.1341: log likelihood = -122.35, aic = 262.71
Note! With use only of xreg we can stick to the command arima
tsdiag(model1_gasfurnace)
Some autocorrelation left in residuals
Forecasting a lead of two time-points(Works since the CO2 is modelled to depend on gasrate lagged 3 time-points)
predict(model1_gasfurnace,n.ahead=2,newxreg=data.frame(gasrate[2:3],gasrate[3:4],gasrate[4:5],gasrate[5:6],gasrate[6:7],gasrate[7:8]))
$predTime Series:Start = 289 End = 290 Frequency = 1 [1] 56.76652 57.52682
$seTime Series:Start = 289 End = 290 Frequency = 1 [1] 0.3662500 0.7642258
Modelling Heteroscedasticity
Exponential increase, but it can also be seen that the variance is not constant with time.
A log transformation gives a clearer picture
Normally we would take first-order differences of this series to remove the trend (first-order non-stationarity)
The variance seems to increase with time, but we can rather see clusters of values with constant variance.
For financial data, this feature is known as volatility clustering.
Correlation pattern?
Not indicating non-stationarity. A clearly significant correlation at lag 19, though.
Autocorrelation of the series of absolute changes
Clearly non-stationary!
If two variables X and Y are normally distributed
Corr(X,Y) = 0 X and Y are independent Corr(|X|,|Y|) = 0
If the distributions are not normal, this equivalence does not hold
In a time series where data are non-normally distributed
0,0, kttkttk YYCorrYYCorr
The same type of reasoning can be applied to squared values of the time series.
Hence, a time series where the autocorrelations are zero may still possess higher-order dependencies.
Autocorrelation of the series of squared changes
Another example :
Stationary?
Just noise spikes?
Ljung-Box tests for spurious data
No evidence for any significant autocorrelations!
LB_plot <- function(x,K1,K2,fitdf=0) {output <- matrix(0,K2-K1+1,2)for (i in 1:(K2-K1+1)) { output[i,1]<-K1-1+i output[i,2]<-Box.test(x,K1-1+i,type="Ljung-Box",fitdf)$p.value}win.graph(width=4.875,height=3,pointsize=8)plot(y=output[,2],x=output[,1],pch=1,ylim=c(0,1),xlab="Lag",ylab="P-value")abline(h=0.05,lty="dashed",col="red")
Autocorrelations for squared values
A clearly significant spike at lag 1
McLeod-LI’s test
Ljung-Box’ test applied to the squared values of a series
McLeod.Li.test(y=spurdata)
0 5 10 15 20 25
0.0
0.2
0.4
0.6
0.8
1.0
Lag
P-v
alue
All P-values are below 0.05!
qqnorm(spurdata)qqline(spurdata)
Slight deviation from the normal distribution Explains why there are linear dependencies between squared values, although not between original values
Jarque-Bera test
A normal distribution is symmetric
03 YE
Moreover, the distribution tails are such that
43 3 YE
The sample functions
sample skewness sample kurtosis
can therefore be used as indicators of whether the sample comes from a normal distribution or not (they should both be close to zero for normally distributed data).
3 and
41
4
231
3
1
sn
YYg
sn
YYg
n
i i
n
i i
The Jarque-Bera test statistic is defined as
246
22
21 gngn
JB
and follows approximately a 2-distribution with two degrees of freedom if the data comes from a normal distribution.
Moreover, each term is approximately 2-distributed with one degree of freedom under normality.
Hence, if data either is too skewed or too heavily or lightly tailed compared with normally distributed data, the test statistic will exceed the expected range of a 2-distribution .
With R skewness can be calculated with the command skewness(x, na.rm = FALSE)
and kurtosis with the commandkurtosis(x, na.rm = FALSE)
(Both come with the package TSA.)
Hence, for the spurious time series we compute the Jarque-Bera test statistic and its P-value as
JB1<-NROW(spurdata)*((skewness(spurdata))^2/6+ (kurtosis(spurdata))^2/24)print(JB1)[1] 31.057341-pchisq(JB1,2)[1] 1.802956e-07
Hence, there is significant evidence that data is not normally distributed
For the changes in log(General Index) we have the QQ plot
In excess of the normal distribution
JB2< NROW(difflogIndex)*((skewness(difflogIndex))^2/6+ (kurtosis(difflogIndex))^2/24)print(JB2)[1] 313.48691-pchisq(JB2,2)[1] 0
P-value so low that it is represented by 0!
ARCH-models
ARCH stands for Auto-Regressive Conditional Heteroscedasticity
112
1 ,,Let tttt YYYVar
The conditional variance or conditional volatility given the previous values of the time series.
The ARCH model of order q [ARCH(q)] is defined as
2222
211
21
1
qtqtttt
tttt
YYY
Y
Engle R.F, Winner of Nobel Memorial Prize in Economic Sciences 2003 (together with C. Granger)
where {t } is white noise with zero mean and unit variance (a special case of et )
Modelling ARCH in practice
Consider the ARCH(1).model
21
21
1
ttt
tttt
Y
Y
dataon directly applied becannot model theobserved becannot Since 21tt
21
21
2221
221
,, of
tindependen is
1122
1nexpectatio in theconstant a like behave""
makeson ngConditioni
1122
11122
1112
01
,,
,,,,,,
thatNote
11
2
1
1
tttttt
YYttt
YY
ttttttttt
YYEY
YYEY
YYYEYYEYYYE
t
ttt
Now, let
21
2 tttt Y
{t } will be white noise [not straightforward to prove, but Yt is constructed so it will have zero mean. Hence the difference between Yt
2 and E(Yt2 | Y1, … , Yt – 1 )
(which is t ) can intuitively be realized must be something with zero mean and no correlation with values at other time-points]
model1AR and satisifies
gives modelin ngSubstituti
2
21
221
2
221
t
tttttt
tttt
Y
YYYY
Y
This extends by similar argumentation to ARCH(q)-models, i.e. the squared values Yt
2 should satisfy an AR(q)
Application to “spurious data” example
If an AR(q) model should be satisfied, the order can be 1 or two (depending on whether the interpretation of the SPAC renders one or two significant spikes.
Try AR(1)
spur_model<-arima(spurdata^2,order=c(1,0,0))print(spur_model)
Call:arima(x = spurdata^2, order = c(1, 0, 0))
Coefficients: ar1 intercept 0.4410 0.3430s.e. 0.0448 0.0501
sigma^2 estimated as 0.3153: log likelihood = -336.82, aic = 677.63
tsdiag(spur_model)
Satisfactory?
Thus, the estimated ARCH-model is
21
21
1
441.0343.0
ttt
tttt
Y
Y
Prediction of future conditional volatility:
etc.
ˆˆˆˆ
ˆˆˆˆˆˆˆˆ
,,,,
,,,,
,,,,ˆ
,,,,
,,,,,,ˆ
22
23
221
22
21
12
1
1
21
21
of and ,, of
tindependen is
122
112
21
21
21
21
12
1
11122
2
11
tttt
ttttt
tht
ththtththt
YYthththttht
tttttttt
thttht
tthttthttht
Y
YYYEEYYE
YYEYYYE
YYYYEYYE
YYYEYYYVar
YYYYYVarEYYE
hthtt
ht
GARCH-models
For purposes of better predictions of future volatility more of the historical data should be allowed to be involved in the prediction formula.
The Generalized Auto-Regressive Conditional Heteroscedastic model of orders p and q [ GARCH(p,q) ] is defined as
2211
21
2211
21
1
qtqtptptptttt
tttt
YY
Y
i.e. the current conditional volatility is explained by previous squared values of the time series as well as previous conditional volatilities.
For estimation purposes, we again substitute
qjpk
YYY
YY
YYY
Y
jk
ptptt
ptqpqptt
qtqt
ptptptttt
tttt
for 0;for 0
for
11
2,max,max
2111
2
2211
21
211
2
21
2
Hence, Yt2 follows an ARMA(max(p,q), p )-model
Note! An ARCH(q)-model is a GARCH(0,q)-model
A GARCH(p,q)-model can be shown to be weakly stationary if
1),max(
1
qp
iii
A prediction formula can be derived as a recursion formula, now including conditional volatilities several steps backwards.
See Cryer & Chan, page 297 for details.
Example GBP/EUR weekly average exchange rates 2007-2012 (Source: www.oanda.com)
Non-stationary in mean (to slow decay of spikes)
First-order differences
Apparent volatility clustering.
Seems to be stationary in mean, though
Correlation pattern of squared values?
Difficult to judge upon
EACF table
AR/MA 0 1 2 3 4 5 6 7 8 9 10 11 12 130 x x x x x x x x x o o x o o 1 x o o x o o o o o o o o o o 2 x x o x o o o o o o o o o o 3 x x x x o o o o o o o o o o 4 x x o o x o x o o o o o o o 5 x x x o o o o o o o o o o o 6 x x o o o o x o o o o o o o 7 o o x o o o x o o o o o o o
ARMA(1,1)
ARMA(2,2)
ARMA(1,1) 1 = max(p,q) GARCH(0,1) [=ARCH(1)] or GARCH(1,1)ARMA(2,2) 2 = max(p,q) GARCH(0,2, GARCH(1,2) or GARCH(2,2)
Candidate GARCH models:
Try GARCH(1,2) !
model1<-garch(diffgbpeur,order=c(1,2))
***** ESTIMATION WITH ANALYTICAL GRADIENT *****
I INITIAL X(I) D(I)
1 1.229711e-04 1.000e+00 2 5.000000e-02 1.000e+00 3 5.000000e-02 1.000e+00 4 5.000000e-02 1.000e+00
IT NF F RELDF PRELDF RELDX STPPAR D*STEP NPRELDF 0 1 -1.018e+03 1 7 -1.019e+03 8.87e-04 1.15e-03 1.0e-04 1.2e+10 1.0e-05 6.73e+06 2 8 -1.019e+03 2.13e-04 2.95e-04 1.0e-04 2.0e+00 1.0e-05 5.90e+00 3 9 -1.019e+03 2.34e-05 3.00e-05 7.0e-05 2.0e+00 1.0e-05 5.69e+00 4 17 -1.025e+03 5.32e-03 9.66e-03 4.0e-01 2.0e+00 9.2e-02 5.68e+00 5 18 -1.025e+03 6.78e-04 1.61e-03 2.2e-01 2.0e+00 9.2e-02 7.59e-02 6 19 -1.026e+03 8.91e-04 1.80e-03 5.0e-01 1.9e+00 1.8e-01 5.02e-02 7 21 -1.030e+03 3.30e-03 2.14e-03 2.5e-01 1.8e+00 1.8e-01 7.51e-02 8 23 -1.030e+03 5.68e-04 5.78e-04 3.9e-02 2.0e+00 3.7e-02 1.87e+01 9 25 -1.030e+03 6.15e-05 6.64e-05 3.7e-03 2.0e+00 3.7e-03 1.00e+00 10 28 -1.031e+03 2.15e-04 2.00e-04 1.5e-02 2.0e+00 1.5e-02 1.11e+00 11 30 -1.031e+03 4.32e-05 4.02e-05 2.9e-03 2.0e+00 2.9e-03 8.17e+01 12 32 -1.031e+03 8.65e-06 8.04e-06 5.7e-04 2.0e+00 5.9e-04 4.13e+03 13 34 -1.031e+03 1.73e-05 1.61e-05 1.1e-03 2.0e+00 1.2e-03 3.89e+04 14 36 -1.031e+03 3.46e-05 3.22e-05 2.3e-03 2.0e+00 2.3e-03 8.97e+05 15 38 -1.031e+03 6.96e-06 6.43e-06 4.5e-04 2.0e+00 4.7e-04 1.29e+04 16 41 -1.031e+03 2.23e-07 1.30e-07 9.0e-06 2.0e+00 9.4e-06 8.06e+03 17 43 -1.031e+03 2.04e-08 2.57e-08 1.8e-06 2.0e+00 1.9e-06 8.06e+03 18 45 -1.031e+03 6.24e-08 5.15e-08 3.6e-06 2.0e+00 3.8e-06 8.06e+03 19 47 -1.031e+03 1.03e-07 1.03e-07 7.2e-06 2.0e+00 7.5e-06 8.06e+03 20 49 -1.031e+03 2.93e-08 2.06e-08 1.4e-06 2.0e+00 1.5e-06 8.06e+03 21 59 -1.031e+03 -4.30e-14 1.70e-16 6.5e-15 2.0e+00 8.9e-15 -1.37e-02
***** FALSE CONVERGENCE *****
FUNCTION -1.030780e+03 RELDX 6.502e-15 FUNC. EVALS 59 GRAD. EVALS 21 PRELDF 1.700e-16 NPRELDF -1.369e-02
I FINAL X(I) D(I) G(I)
1 3.457568e-05 1.000e+00 -1.052e+01 2 2.214434e-01 1.000e+00 -6.039e+00 3 3.443267e-07 1.000e+00 -5.349e+00 4 5.037035e-01 1.000e+00 -1.461e+01
summary(model1)
Call:garch(x = diffgbpeur, order = c(1, 2))
Model:GARCH(1,2)
Residuals: Min 1Q Median 3Q Max -3.0405 -0.6766 -0.0592 0.6610 2.5436
Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 3.458e-05 1.469e-05 2.353 0.01861 * a1 2.214e-01 8.992e-02 2.463 0.01379 * a2 3.443e-07 1.072e-01 0.000 1.00000 b1 5.037e-01 1.607e-01 3.135 0.00172 **---Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Diagnostic Tests: Jarque Bera Test
data: Residuals X-squared = 1.1885, df = 2, p-value = 0.552
Box-Ljung test
data: Squared.Residuals X-squared = 0.1431, df = 1, p-value = 0.7052
Not every parameter significant, but diagnostic tests are OK.
However, the problem with convergence should make us suspicious!
Try GARCH(0.2), i.e. ARCH(2)
model11<-garch(diffgbpeur,order=c(0,2)) ***** ESTIMATION WITH ANALYTICAL GRADIENT *****
I INITIAL X(I) D(I)
1 1.302047e-04 1.000e+00 2 5.000000e-02 1.000e+00 3 5.000000e-02 1.000e+00
IT NF F RELDF PRELDF RELDX STPPAR D*STEP NPRELDF 0 1 -1.018e+03 1 7 -1.019e+03 8.27e-04 1.07e-03 1.0e-04 1.1e+10 1.0e-05 5.83e+06 2 8 -1.019e+03 2.25e-04 3.01e-04 1.0e-04 2.1e+00 1.0e-05 5.80e+00 3 9 -1.019e+03 1.37e-05 1.58e-05 7.0e-05 2.0e+00 1.0e-05 5.61e+00 4 17 -1.024e+03 5.37e-03 9.58e-03 4.0e-01 2.0e+00 9.2e-02 5.59e+00 5 18 -1.025e+03 2.04e-04 1.47e-03 2.4e-01 2.0e+00 9.2e-02 6.28e-02 6 28 -1.025e+03 4.45e-06 8.10e-06 2.6e-06 5.7e+00 9.9e-07 1.36e-02 7 37 -1.025e+03 4.75e-04 8.77e-04 1.1e-01 1.8e+00 4.8e-02 9.43e-03 8 38 -1.026e+03 1.03e-03 7.23e-04 1.3e-01 6.1e-02 4.8e-02 7.24e-04 9 39 -1.027e+03 5.04e-04 4.04e-04 9.8e-02 3.0e-02 4.8e-02 4.04e-04 10 40 -1.027e+03 8.14e-05 6.74e-05 4.0e-02 0.0e+00 2.3e-02 6.74e-05 11 41 -1.027e+03 5.52e-06 5.00e-06 1.1e-02 0.0e+00 7.0e-03 5.00e-06 12 42 -1.027e+03 1.30e-07 1.12e-07 1.4e-03 0.0e+00 7.8e-04 1.12e-07 13 43 -1.027e+03 2.19e-08 1.56e-08 5.2e-04 0.0e+00 3.5e-04 1.56e-08 14 44 -1.027e+03 7.58e-09 6.98e-09 6.2e-04 3.0e-02 3.5e-04 6.98e-09 15 45 -1.027e+03 2.30e-10 2.11e-10 1.1e-04 0.0e+00 5.8e-05 2.11e-10 16 46 -1.027e+03 3.88e-12 3.72e-12 8.2e-06 0.0e+00 5.8e-06 3.72e-12
***** RELATIVE FUNCTION CONVERGENCE *****
FUNCTION -1.026796e+03 RELDX 8.165e-06 FUNC. EVALS 46 GRAD. EVALS 17 PRELDF 3.722e-12 NPRELDF 3.722e-12
I FINAL X(I) D(I) G(I)
1 8.171538e-05 1.000e+00 1.048e-01 2 2.631538e-01 1.000e+00 -3.790e-06 3 1.466673e-01 1.000e+00 8.242e-05
summary(model11)
Call:garch(x = diffgbpeur, order = c(0, 2))
Model:GARCH(0,2)
Residuals: Min 1Q Median 3Q Max -3.25564 -0.66044 -0.05575 0.63832 2.81831
Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 8.172e-05 1.029e-05 7.938 2e-15 ***a1 2.632e-01 9.499e-02 2.770 0.00560 ** a2 1.467e-01 5.041e-02 2.910 0.00362 ** ---Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
All parameters are significant!
Diagnostic Tests: Jarque Bera Test
data: Residuals X-squared = 3.484, df = 2, p-value = 0.1752
Box-Ljung test
data: Squared.Residuals X-squared = 0.0966, df = 1, p-value = 0.7559
Diagnostic tests OK!
In summary, we have the model
15.0ˆ;26.0ˆ;000082.0ˆ
estimates parameter with
1
21
222
211
21
1
tttt
ttttt
YY
YYBCoefficient(s): Estimate Std. Error a0 8.172e-05 1.029e-05 a1 2.632e-01 9.499e-02 a2 1.467e-01 5.041e-02
Extension: Firstly, model the conditional mean, i.e. apply an ARMA-model to the first order differences ( an ARIMA(p,1,q) to original data)
An MA(1) to the first-order differences seems appropriate
cm_model<-arima(gbpeur,order=c(0,1,1))
Coefficients: ma1 0.4974s.e. 0.0535
sigma^2 estimated as 0.0001174: log likelihood = 804.36, aic = -1606.72
tsdiag(cm_model)
Seems to be in order
Now, investigate the correlation pattern of the squared residuals from the model
AR/MA 0 1 2 3 4 5 6 7 8 9 10 11 12 130 o x x x x o o x x o o o o o 1 x o o o x o o o x o o o o o 2 x o o o x o o o o o o o o o 3 x o x o o o o o o o x o o o 4 x x o o o o o o o o o o o o 5 x x o o x o o o o o o o o o 6 x x x x x o o o o o o o o o 7 o x o x o o o o o o o o o o
ARMA(1,1) ?
GARCH(0,1) or GARCH(1,1) Try GARCH(1,1)!
model2<-garch(residuals(cm_model),order=c(1,1))
Again, we get a message about false convergence Caution!However, we proceed here as we are looking for a model with better prediction capability.
summary(model2)Call:garch(x = residuals(cm_model), order = c(1, 1))
Model:GARCH(1,1)
Residuals: Min 1Q Median 3Q Max -3.31234 -0.68936 -0.01541 0.56837 3.55745
Coefficient(s): Estimate Std. Error t value Pr(>|t|) a0 8.306e-06 6.203e-06 1.339 0.18058 a1 1.069e-01 3.959e-02 2.701 0.00691 ** b1 8.163e-01 8.799e-02 9.278 < 2e-16 ***---Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Significant parameters
Diagnostic Tests: Jarque Bera Test
data: Residuals X-squared = 3.173, df = 2, p-value = 0.2046
Box-Ljung test
data: Squared.Residuals X-squared = 1.7533, df = 1, p-value = 0.1855
Diagnostic tests OK
In summary, the model used is
221
21
21
1
11
ttttt
tttt
ttt
e
e
eeYB
The parameter estimates are MA(1)Coefficients: ma1 0.4974s.e. 0.0535
GARCH(1,1)Coefficient(s): Estimate Std. Error a0 8.306e-06 6.203e-06 a1 1.069e-01 3.959e-02 b1 8.163e-01 8.799e-02
82.0ˆ
11.0ˆ
0000008.0ˆ
50.0ˆ
stationaryWeakly
193.082.011.0ˆˆ
Recommended