ARIMA Models considered more efficient
| ARCH - LM test | |||||
|---|---|---|---|---|---|
| Coefficient | p-value | TR2 | Probability χ2 | ||
| CDI | ARIMA (2.1.3) | ||||
| θ1 | 0.2770 | 0.0000 | 0.090 | 0.764 | |
| θ2 | −0.9486 | 0.0000 | |||
| φ1 | −0.2331 | 0.0000 | |||
| φ2 | 0.9638 | 0.0000 | |||
| φ3 | 0.0489 | 0.0105 | |||
| TIRUSSIA | ARIMA (3.1.4) | ||||
| θ1 | 1.4390 | 0.0000 | 112.024 | 0.000 | |
| θ2 | −1.3585 | 0.0000 | |||
| θ3 | 0.6158 | 0.0000 | |||
| φ1 | −1.3699 | 0.0000 | |||
| φ2 | 0.8804 | 0.0000 | |||
| φ3 | −0.1790 | 0.0001 | |||
| φ4 | −0.2811 | 0.0000 | |||
| MIBOR | ARIMA (4.1.5) | ||||
| θ1 | −0.3005 | 0.0000 | 224.000 | 0.000 | |
| θ2 | −0.8166 | 0.0000 | |||
| θ3 | −0.1904 | 0.0001 | |||
| θ4 | −0.2841 | 0.0000 | |||
| φ1 | −0.2265 | 0.0000 | |||
| φ2 | 0.7170 | 0.0000 | |||
| φ3 | −0.4009 | 0.0000 | |||
| φ4 | 0.1533 | 0.0034 | |||
| φ5 | −0.4587 | 0.0000 | |||
| SHIBOR | ARIMA (1.1.1) | ||||
| θ1 | 0.8855 | 0.0000 | 166.670 | 0.000 | |
| φ1 | −0.9803 | 0.0000 | |||
| TICHILE | ARIMA (3.1.3) | ||||
| θ1 | 0.7662 | 0.0000 | 0.882 | 0.348 | |
| θ2 | 0.9834 | 0.0000 | |||
| θ3 | −0.7614 | 0.0000 | |||
| φ1 | −0.9028 | 0.0000 | |||
| φ2 | −0.9809 | 0.0000 | |||
| φ3 | 0.9037 | 0.0000 | |||
| BAIBOR | ARIMA (3.1.4) | ||||
| θ1 | −0.7223 | 0.0000 | 535.456 | 0.000 | |
| θ2 | −0.5030 | 0.0000 | |||
| θ3 | 0.3970 | 0.0000 | |||
| φ1 | 0.6362 | 0.0000 | |||
| φ2 | 0.1188 | 0.0000 | |||
| φ3 | −0.8405 | 0.0000 | |||
| φ4 | −0.2805 | 0.0000 | |||
| TIEE | ARIMA (4.1.5) | ||||
| θ1 | −1.6279 | 0.0000 | 27.967 | 0.000 | |
| θ2 | −1.0327 | 0.0000 | |||
| θ3 | −1.1149 | 0.0000 | |||
| θ4 | −0.7309 | 0.0000 | |||
| φ1 | 1.9167 | 0.0000 | |||
| φ2 | 1.5701 | 0.0000 | |||
| φ3 | 1.5822 | 0.0000 | |||
| φ4 | 1.1837 | 0.0000 | |||
| φ5 | 0.2392 | 0.0000 | |||
| SABOR | ARIMA (0.2.1) | ARCH - LM test | |||
| φ1 | −0.9866 | 0.0000 | 0.034 | 0.855 | |
| FFUNDS | ARIMA (5.15) | ||||
| θ1 | 1.3202 | 0.0000 | 567.979 | 0.000 | |
| θ2 | −1.4654 | 0.0000 | |||
| θ3 | 0.9056 | 0.0000 | |||
| θ4 | −0.6458 | 0.0000 | |||
| θ5 | 0.2887 | 0.0000 | |||
| φ1 | −1.3686 | 0.0000 | |||
| φ2 | 1.3085 | 0.0000 | |||
| φ3 | −0.8084 | 0.0000 | |||
| φ4 | 0.4760 | 0.0000 | |||
| φ5 | −0.3189 | 0.0000 | |||
| EURIBOR | ARIMA (4.1.5) | ||||
| θ1 | 2.0542 | 0.0000 | 463.024 | 0.000 | |
| θ2 | −2.2831 | 0.0000 | |||
| θ3 | 1.9596 | 0.0000 | |||
| θ4 | −0.7363 | 0.0000 | |||
| φ1 | −2.3171 | 0.0000 | |||
| φ2 | 2.6954 | 0.0000 | |||
| φ3 | −2.3934 | 0.0000 | |||
| φ4 | 1.0847 | 0.0000 | |||
| φ5 | −0.0649 | 0.0126 | |||
| TMIR | ARIMA (3.1.3) | ||||
| θ1 | −1.1892 | 0.0000 | 189.631 | 0.000 | |
| θ2 | −0.3850 | 0.0000 | |||
| θ3 | 0.3543 | 0.0000 | |||
| φ1 | 0.9106 | 0.0000 | |||
| φ2 | −0.0858 | 0.0000 | |||
| φ3 | −0.6675 | 0.0000 | |||
| ARCH - LM test | |||||
|---|---|---|---|---|---|
| Coefficient | Probability χ2 | ||||
| CDI | ARIMA (2.1.3) | ||||
| 0.2770 | 0.0000 | 0.090 | 0.764 | ||
| −0.9486 | 0.0000 | ||||
| −0.2331 | 0.0000 | ||||
| 0.9638 | 0.0000 | ||||
| 0.0489 | 0.0105 | ||||
| TIRUSSIA | ARIMA (3.1.4) | ||||
| 1.4390 | 0.0000 | 112.024 | 0.000 | ||
| −1.3585 | 0.0000 | ||||
| 0.6158 | 0.0000 | ||||
| −1.3699 | 0.0000 | ||||
| 0.8804 | 0.0000 | ||||
| −0.1790 | 0.0001 | ||||
| −0.2811 | 0.0000 | ||||
| MIBOR | ARIMA (4.1.5) | ||||
| −0.3005 | 0.0000 | 224.000 | 0.000 | ||
| −0.8166 | 0.0000 | ||||
| −0.1904 | 0.0001 | ||||
| −0.2841 | 0.0000 | ||||
| −0.2265 | 0.0000 | ||||
| 0.7170 | 0.0000 | ||||
| −0.4009 | 0.0000 | ||||
| 0.1533 | 0.0034 | ||||
| −0.4587 | 0.0000 | ||||
| SHIBOR | ARIMA (1.1.1) | ||||
| 0.8855 | 0.0000 | 166.670 | 0.000 | ||
| −0.9803 | 0.0000 | ||||
| TICHILE | ARIMA (3.1.3) | ||||
| 0.7662 | 0.0000 | 0.882 | 0.348 | ||
| 0.9834 | 0.0000 | ||||
| −0.7614 | 0.0000 | ||||
| −0.9028 | 0.0000 | ||||
| −0.9809 | 0.0000 | ||||
| 0.9037 | 0.0000 | ||||
| BAIBOR | ARIMA (3.1.4) | ||||
| −0.7223 | 0.0000 | 535.456 | 0.000 | ||
| −0.5030 | 0.0000 | ||||
| 0.3970 | 0.0000 | ||||
| 0.6362 | 0.0000 | ||||
| 0.1188 | 0.0000 | ||||
| −0.8405 | 0.0000 | ||||
| −0.2805 | 0.0000 | ||||
| TIEE | ARIMA (4.1.5) | ||||
| −1.6279 | 0.0000 | 27.967 | 0.000 | ||
| −1.0327 | 0.0000 | ||||
| −1.1149 | 0.0000 | ||||
| −0.7309 | 0.0000 | ||||
| 1.9167 | 0.0000 | ||||
| 1.5701 | 0.0000 | ||||
| 1.5822 | 0.0000 | ||||
| 1.1837 | 0.0000 | ||||
| 0.2392 | 0.0000 | ||||
| SABOR | ARIMA (0.2.1) | ARCH - LM test | |||
| −0.9866 | 0.0000 | 0.034 | 0.855 | ||
| FFUNDS | ARIMA (5.15) | ||||
| θ1 | 1.3202 | 0.0000 | 567.979 | 0.000 | |
| θ2 | −1.4654 | 0.0000 | |||
| θ3 | 0.9056 | 0.0000 | |||
| θ4 | −0.6458 | 0.0000 | |||
| θ5 | 0.2887 | 0.0000 | |||
| −1.3686 | 0.0000 | ||||
| 1.3085 | 0.0000 | ||||
| −0.8084 | 0.0000 | ||||
| 0.4760 | 0.0000 | ||||
| −0.3189 | 0.0000 | ||||
| EURIBOR | ARIMA (4.1.5) | ||||
| θ1 | 2.0542 | 0.0000 | 463.024 | 0.000 | |
| θ2 | −2.2831 | 0.0000 | |||
| θ3 | 1.9596 | 0.0000 | |||
| θ4 | −0.7363 | 0.0000 | |||
| −2.3171 | 0.0000 | ||||
| 2.6954 | 0.0000 | ||||
| −2.3934 | 0.0000 | ||||
| 1.0847 | 0.0000 | ||||
| −0.0649 | 0.0126 | ||||
| TMIR | ARIMA (3.1.3) | ||||
| θ1 | −1.1892 | 0.0000 | 189.631 | 0.000 | |
| θ2 | −0.3850 | 0.0000 | |||
| θ3 | 0.3543 | 0.0000 | |||
| 0.9106 | 0.0000 | ||||
| −0.0858 | 0.0000 | ||||
| −0.6675 | 0.0000 | ||||
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