Table 3. Results of GARCH estimation...

Table 3.

Results of GARCH estimation

Variable	Coefficient	Std. error	Z-statistic	Prob.
GARCH(1, 0) for RGEP
C	0.011	0.005	2.292	0.021
AR(1)	0.237	0.063	3.722	0.000
Variance equation
C	0.002	0.000	8.180	0.000
RESID(−1)^2	0.435	0.102	4.232	0.000
ARCH-LM test
F-statistic		0.066 (0.796)
Obs*R-squared		0.067 (0.795)
GARCH(1, 1) for RGCP
C	0.002	0.003	0.698	0.484
AR(1)	0.320	0.058	5.474	0.000
Variance equation
C	0.000	0.000	1.135	0.256
RESID(−1)^2	0.151	0.056	2.679	0.007
GARCH(−1)	0.757	0.125	6.038	0.000
ARCH-LM test
F-statistic		0.0022 (0.962)
Obs*R-squared		0.0022 (0.961)
GARCH (1, 1) for RGIMP
C	0.001	0.002	0.385	0.699
AR(1)	0.328	0.057	5.699	0.000
Variance equation
C	0.001	0.000	1.45	0.147
RESID(−1)^2	0.064	0.028	2.244	0.024
GARCH(−1)	0.918	0.035	25.665	0.000
ARCH-LM test
F-statistic		0.005(0.941)
Obs*R-squared		0.005(0.941)

Variable	Coefficient	Std. error	Z-statistic	Prob.
GARCH(1, 0) for RGEP
C	0.011	0.005	2.292	0.021
AR(1)	0.237	0.063	3.722	0.000
Variance equation
C	0.002	0.000	8.180	0.000
RESID(−1)^2	0.435	0.102	4.232	0.000
ARCH-LM test
F-statistic		0.066 (0.796)
Obs*R-squared		0.067 (0.795)
GARCH(1, 1) for RGCP
C	0.002	0.003	0.698	0.484
AR(1)	0.320	0.058	5.474	0.000
Variance equation
C	0.000	0.000	1.135	0.256
RESID(−1)^2	0.151	0.056	2.679	0.007
GARCH(−1)	0.757	0.125	6.038	0.000
ARCH-LM test
F-statistic		0.0022 (0.962)
Obs*R-squared		0.0022 (0.961)
GARCH (1, 1) for RGIMP
C	0.001	0.002	0.385	0.699
AR(1)	0.328	0.057	5.699	0.000
Variance equation
C	0.001	0.000	1.45	0.147
RESID(−1)^2	0.064	0.028	2.244	0.024
GARCH(−1)	0.918	0.035	25.665	0.000
ARCH-LM test
F-statistic		0.005(0.941)
Obs*R-squared		0.005(0.941)

Source: Authors’ own work

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