GARCH (1,1) estimate for macroeconomic (output and inflation) volatilities
| Output model | Inflation model | ||
|---|---|---|---|
| Variable | Coefficient | Variable | Coefficient |
| Mean equation | |||
| C | 3.144 | C | 0.028 |
| GDP(−1) | 1.034*** | INF(−1) | 1.027*** |
| Variance equation | |||
| C | 4.348*** | C | 0.001 |
| RESID(−1)ˆ2 | 0.051*** | RESID(−1)ˆ2 | 0.232*** |
| GARCH(−1) | 0.159*** | GARCH(−1) | 0.676*** |
| Diagnostic statistic | |||
| LM | 0.189 | LM | 0.374 |
| Q(36) | 57.274 | Q(36) | 96.492 |
| Q2(36) | 103.25 | Q2(36) | 27.388 |
| Output model | Inflation model | ||
|---|---|---|---|
| Variable | Coefficient | Variable | Coefficient |
| Mean equation | |||
| C | 3.144 | C | 0.028 |
| GDP(−1) | 1.034*** | INF(−1) | 1.027*** |
| Variance equation | |||
| C | 4.348*** | C | 0.001 |
| RESID(−1)ˆ2 | 0.051*** | RESID(−1)ˆ2 | 0.232*** |
| GARCH(−1) | 0.159*** | GARCH(−1) | 0.676*** |
| Diagnostic statistic | |||
| LM | 0.189 | LM | 0.374 |
| Q(36) | 57.274 | Q(36) | 96.492 |
| Q2(36) | 103.25 | Q2(36) | 27.388 |
Note(s): ***, **, * represent 1%, 5 and 10% respectively
Source(s): Authors' own work
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.