Model estimation and Ljung–Box test results
| Model estimation | ||||||
|---|---|---|---|---|---|---|
| ARIMA model | Coefficient MA(1) | Std. error | Variance(σ2) | AIC value | BIC value | Log likelihood |
| (0,1,1) (0,1,0) [12] | −0.5618 | 0.1362 | 1.183e+09 | 1118.62 | 1122.32 | −557.31 |
| Model estimation | ||||||
|---|---|---|---|---|---|---|
| ARIMA model | Coefficient MA(1) | Std. error | Variance( | AIC value | BIC value | Log likelihood |
| (0,1,1) (0,1,0) [12] | −0.5618 | 0.1362 | 1.183e+09 | 1118.62 | 1122.32 | −557.31 |
| Ljung–Box test results | |||||
|---|---|---|---|---|---|
| Q* | DF, model DF | Total lags used | Significance level | p-value | Null rejected |
| 19.433 | 11,1 | 12 | 0.05 | 0.05375 | False |
| DF, model DF | Total lags used | Significance level | p-value | Null rejected | |
|---|---|---|---|---|---|
| 19.433 | 11,1 | 12 | 0.05 | 0.05375 | False |