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1 Appendix-1: Testing for ARCH Effect

1 Appendix-1: Testing for ARCH Effect

Tải bản đầy đủ - 96trang

Master of Business Administration



Lam Van Bao Dan



6.1.2 Crisis Period (From January, 2008 to December, 2009)

Heteroskedasticity Test: ARCH

F-statistic

Obs*R-squared



23.52759

22.54512



Prob. F(1,492)

Prob. Chi-Square(1)



0.0000

0.0000



Test Equation:

Dependent Variable: RESID^2

Method: Least Squares

Date: 03/24/12 Time: 17:32

Sample (adjusted): 3 496

Included observations: 494 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



C

RESID^2(-1)



0.000357

0.213541



3.32E-05

0.044024



10.76368

4.850525



0.0000

0.0000



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



K17-EMBA



0.045638

0.043698

0.000589

0.000171

2973.643

23.52759

0.000002



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



Page 66



0.000454

0.000603

-12.03094

-12.01393

-12.02426

2.016806



2012



Master of Business Administration



Lam Van Bao Dan



6.1.3 Recovering Period (From January, 2010 to December, 2011)

Heteroskedasticity Test: ARCH

F-statistic

Obs*R-squared



22.00790

21.15456



Prob. F(1,494)

Prob. Chi-Square(1)



0.0000

0.0000



Test Equation:

Dependent Variable: RESID^2

Method: Least Squares

Date: 03/24/12 Time: 17:39

Sample (adjusted): 3 498

Included observations: 496 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



C

RESID^2(-1)



0.000133

0.207738



1.40E-05

0.044282



9.506591

4.691258



0.0000

0.0000



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



K17-EMBA



0.042650

0.040712

0.000265

3.46E-05

3382.450

22.00790

0.000004



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



Page 67



0.000167

0.000270

-13.63085

-13.61389

-13.62419

2.049218



2012



Master of Business Administration



Lam Van Bao Dan



6.1.4 Whole Period (From March, 2002 to December, 2011)

Heteroskedasticity Test: ARCH

F-statistic

Obs*R-squared



362.1974

315.6900



Prob. F(1,2443)

Prob. Chi-Square(1)



0.0000

0.0000



Test Equation:

Dependent Variable: RESID^2

Method: Least Squares

Date: 03/24/12 Time: 17:42

Sample (adjusted): 3 2447

Included observations: 2445 after adjustments

Variable



Coefficient



Std. Error



t-Statistic



Prob.



C

RESID^2(-1)



0.000149

0.359316



9.71E-06

0.018880



15.31713

19.03149



0.0000

0.0000



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

F-statistic

Prob(F-statistic)



K17-EMBA



0.129117

0.128760

0.000428

0.000448

15494.02

362.1974

0.000000



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.

Durbin-Watson stat



Page 68



0.000232

0.000459

-12.67241

-12.66766

-12.67068

2.077143



2012



Master of Business Administration



6.2



Lam Van Bao Dan



Appendix-2: GARCH Models Analysis



6.2.1 Before Crisis Period (From March, 2002 to December, 2007)

ARCH (1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:05

Sample (adjusted): 2 1453

Included observations: 1452 after adjustments

Convergence achieved after 12 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



-9.53E-05



0.000210



-0.453578



0.6501



36.73212

11.69130



0.0000

0.0000



Variance Equation

C

RESID(-1)^2

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



7.31E-05

0.739469

-0.005117

-0.005117

0.013786

0.275762

4405.753

1.494410



1.99E-06

0.063249



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 69



-0.001079

0.013751

-6.064398

-6.053488

-6.060327



2012



Master of Business Administration



Lam Van Bao Dan



GARCH (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:07

Sample (adjusted): 2 1453

Included observations: 1452 after adjustments

Convergence achieved after 12 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000256



0.000135



1.904324



0.0569



6.705529

12.12539

40.58187



0.0000

0.0000

0.0000



Variance Equation

C

RESID(-1)^2

GARCH(-1)

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



2.77E-06

0.385811

0.674700

-0.009429

-0.009429

0.013815

0.276945

4642.188

1.488026



4.12E-07

0.031818

0.016626



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 70



-0.001079

0.013751

-6.388688

-6.374141

-6.383260



2012



Master of Business Administration



Lam Van Bao Dan



TGARCH (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:08

Sample (adjusted): 2 1453

Included observations: 1452 after adjustments

Convergence achieved after 16 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*RESID(-1)^2*(RESID(-1)<0) +

C(5)*GARCH(-1)

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000351



0.000158



2.217178



0.0266



6.548112

9.383390

-2.315439

41.32354



0.0000

0.0000

0.0206

0.0000



Variance Equation

C

RESID(-1)^2

RESID(-1)^2*(RESID(-1)<0)

GARCH(-1)



2.63E-06

0.466888

-0.134241

0.674133



R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



-0.010809

-0.010809

0.013825

0.277324

4644.298

1.485994



K17-EMBA



4.02E-07

0.049757

0.057976

0.016314



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 71



-0.001079

0.013751

-6.390218

-6.372033

-6.383432



2012



Master of Business Administration



Lam Van Bao Dan



EGARCH (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:09

Sample (adjusted): 2 1453

Included observations: 1452 after adjustments

Convergence achieved after 16 iterations

Presample variance: backcast (parameter = 0.7)

LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)

*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000283



0.000160



1.775311



0.0758



-14.51004

17.58108

1.396136

143.5665



0.0000

0.0000

0.1627

0.0000



Variance Equation

C(2)

C(3)

C(4)

C(5)

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



-0.986306

0.596224

0.033311

0.941036

-0.009818

-0.009818

0.013818

0.277052

4647.058

1.487453



0.067974

0.033913

0.023860

0.006555



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 72



-0.001079

0.013751

-6.394020

-6.375836

-6.387235



2012



Master of Business Administration



Lam Van Bao Dan



GARCH-M (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:04

Sample (adjusted): 2 1453

Included observations: 1452 after adjustments

Convergence achieved after 27 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)

Variable



Coefficient



Std. Error



z-Statistic



Prob.



GARCH

C



-4.324580

0.000451



1.666026

0.000150



-2.595747

2.997571



0.0094

0.0027



6.660993

12.19970

42.40696



0.0000

0.0000

0.0000



Variance Equation

C

RESID(-1)^2

GARCH(-1)

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



2.67E-06

0.375240

0.682140

0.001476

0.000787

0.013745

0.273953

4647.294

1.520155



4.01E-07

0.030758

0.016086



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 73



-0.001079

0.013751

-6.394344

-6.376160

-6.387559



2012



Master of Business Administration



Lam Van Bao Dan



6.2.2 Crisis Period (From January, 2008 to December, 2009)

ARCH (1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:10

Sample (adjusted): 2 496

Included observations: 495 after adjustments

Convergence achieved after 12 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000694



0.001012



0.685814



0.4928



9.429063

2.312012



0.0000

0.0208



Variance Equation

C

RESID(-1)^2

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



0.000395

0.232104

-0.000607

-0.000607

0.022803

0.256879

1179.115

1.293398



4.19E-05

0.100390



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 74



0.001255

0.022797

-4.751978

-4.726496

-4.741975



2012



Master of Business Administration



Lam Van Bao Dan



GARCH (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:11

Sample (adjusted): 2 496

Included observations: 495 after adjustments

Convergence achieved after 33 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000994



0.000875



1.136424



0.2558



1.584444

2.526841

12.89560



0.1131

0.0115

0.0000



Variance Equation

C

RESID(-1)^2

GARCH(-1)

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



1.76E-05

0.145088

0.824225

-0.000131

-0.000131

0.022798

0.256757

1194.484

1.294013



1.11E-05

0.057419

0.063915



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 75



0.001255

0.022797

-4.810036

-4.776060

-4.796698



2012



Master of Business Administration



Lam Van Bao Dan



TGARCH (1,1)

Dependent Variable: RETURN

Method: ML - ARCH (Marquardt) - Normal distribution

Date: 04/01/12 Time: 11:12

Sample (adjusted): 2 496

Included observations: 495 after adjustments

Convergence achieved after 94 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*RESID(-1)^2*(RESID(-1)<0) +

C(5)*GARCH(-1)

Variable



Coefficient



Std. Error



z-Statistic



Prob.



C



0.000905



0.000905



1.000299



0.3172



1.356175

2.262782

1.188027

13.78114



0.1750

0.0236

0.2348

0.0000



Variance Equation

C

RESID(-1)^2

RESID(-1)^2*(RESID(-1)<0)

GARCH(-1)

R-squared

Adjusted R-squared

S.E. of regression

Sum squared resid

Log likelihood

Durbin-Watson stat



K17-EMBA



1.53E-05

0.116660

0.083618

0.818565

-0.000237

-0.000237

0.022799

0.256784

1195.790

1.293877



1.13E-05

0.051556

0.070384

0.059397



Mean dependent var

S.D. dependent var

Akaike info criterion

Schwarz criterion

Hannan-Quinn criter.



Page 76



0.001255

0.022797

-4.811275

-4.768804

-4.794602



2012



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