Estimates for the ARIMA
| (1) | (2) | (3) | (4) | |
|---|---|---|---|---|
| S&P 500 | S&P 500 | BSE | BSE | |
| main | 0.0000165 | 0.0000158 | 0.000582 | 0.000514 |
| (0.0000414) | (0.0000382) | (0.00418) | (0.00473) | |
| ARMA | ||||
| L.ar | −0.358*** | −0.505*** | 0.176*** | −0.669*** |
| (0.0235) | (0.0618) | (0.0457) | (0.143) | |
| L.ma | −0.949*** | −0.786*** | −0.777*** | 0.0814 |
| (0.00905) | (0.0651) | (0.0479) | (0.148) | |
| L2.ma | −0.164* | −0.567*** | ||
| (0.0655) | (0.0826) | |||
| Sigma | 0.0189*** | 0.0188*** | 0.241*** | 0.240*** |
| (0.000307) | (0.000312) | (0.00359) | (0.00441) | |
| N | 362 | 362 | 362 | 362 |
| AIC | −1834.687 | −1835.002 | 6.565275 | 3.694477 |
| BIC | −1819.12 | −1815.544 | 22.13185 | 23.1527 |
| Df | 4 | 5 | 4 | 5 |
| Log-likelihood | 921.3433 | 922.501 | 0.71736 | 3.152762 |
| (1) | (2) | (3) | (4) | |
|---|---|---|---|---|
| S&P 500 | S&P 500 | BSE | BSE | |
| main | 0.0000165 | 0.0000158 | 0.000582 | 0.000514 |
| (0.0000414) | (0.0000382) | (0.00418) | (0.00473) | |
| L.ar | −0.358*** | −0.505*** | 0.176*** | −0.669*** |
| (0.0235) | (0.0618) | (0.0457) | (0.143) | |
| L.ma | −0.949*** | −0.786*** | −0.777*** | 0.0814 |
| (0.00905) | (0.0651) | (0.0479) | (0.148) | |
| L2.ma | −0.164* | −0.567*** | ||
| (0.0655) | (0.0826) | |||
| Sigma | 0.0189*** | 0.0188*** | 0.241*** | 0.240*** |
| (0.000307) | (0.000312) | (0.00359) | (0.00441) | |
| 362 | 362 | 362 | 362 | |
| AIC | −1834.687 | −1835.002 | 6.565275 | 3.694477 |
| BIC | −1819.12 | −1815.544 | 22.13185 | 23.1527 |
| Df | 4 | 5 | 4 | 5 |
| Log-likelihood | 921.3433 | 922.501 | 0.71736 | 3.152762 |
Note(s): Standard errors in parentheses * p < 0.05, **p < 0.01 and ***p < 0.001
Source(s): Author’s computation
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.