Table 3 ARIMA models result analysis...

Table 3

ARIMA models result analysis

Variable	Coefficient	Std. error	t-statistic	Prob
C	−0.58793	0.754985	−0.778731	0.4441
AR(1)	0.861853	0.329559	2.615169	0.0155
MA(1)	−0.677824	0.516389	−1.312624	0.2023
SIGMASQ	4.780284	1.138706	4.197996	0.0003
R-squared	0.098126	Mean dependent var		−0.32737
Adjusted R-squared	−0.019509	S.D. dependent var		2.34612
S.E. of regression	2.36889	Akaike info criterion		4.70675
Sum squared resid	129.0677	Schwarz criterion		4.89872
Log likelihood	−59.54109	Hannan-Quinn criterion		4.76383
F-statistic	0.834154	Durbin-Watson stat		1.89702
Prob(F-statistic)	0.488861
C	−0.432504	0.561868	−0.769761	0.4493
AR(1)	0.216624	0.254482	0.851234	0.4034
MA(2)	0.059218	0.213943	0.276794	0.7844
SIGMASQ	5.045582	1.243431	4.05779	0.0005
R-squared	0.048074	Mean dependent var		−0.32737
Adjusted R-squared	−0.076091	S.D. dependent var		2.34612
S.E. of regression	2.433737	Akaike info criterion		4.75493
Sum squared resid	136.2307	Schwarz criterion		4.94691
Log likelihood	−60.19159	Hannan-Quinn criterion		4.81202
F-statistic	0.387178	Durbin-Watson stat		1.87339
Prob(F-statistic)	0.763274
C	−0.400998	0.591967	−0.677399	0.5049
AR(1)	0.144087	0.23986	0.600712	0.5539
MA(3)	0.135537	0.29874	0.453695	0.6543
SIGMASQ	5.001099	1.18911	4.205749	0.0003
R-squared	0.056466	Mean dependent var		−0.32737
Adjusted R-squared	−0.066603	S.D. dependent var		2.34612
S.E. of regression	2.422985	Akaike info criterion		4.7467
Sum squared resid	135.0297	Schwarz criterion		4.93867
Log likelihood	−60.08043	Hannan-Quinn criterion		4.80378
F-statistic	0.458815	Durbin-Watson stat		1.82619
Prob(F-statistic)	0.713703
C	−0.517398	0.601336	−0.860413	0.3984
AR(1)	0.214886	0.232745	0.923271	0.3655
MA(4)	0.286418	0.220949	1.296307	0.2077
SIGMASQ	4.611844	1.12449	4.101277	0.0004
R-squared	0.129905	Mean dependent var		−0.32737
Adjusted R-squared	0.016415	S.D. dependent var		2.34612
S.E. of regression	2.32678	Akaike info criterion		4.67728
Sum squared resid	124.5198	Schwarz criterion		4.86925
Log likelihood	−59.14326	Hannan-Quinn criterion		4.73436
F-statistic	1.144633	Durbin-Watson stat		1.86541
Prob(F-statistic)	0.352113

Variable	Coefficient	Std. error	t-statistic	Prob
C	−0.58793	0.754985	−0.778731	0.4441
AR(1)	0.861853	0.329559	2.615169	0.0155
MA(1)	−0.677824	0.516389	−1.312624	0.2023
SIGMASQ	4.780284	1.138706	4.197996	0.0003
R-squared	0.098126	Mean dependent var		−0.32737
Adjusted R-squared	−0.019509	S.D. dependent var		2.34612
S.E. of regression	2.36889	Akaike info criterion		4.70675
Sum squared resid	129.0677	Schwarz criterion		4.89872
Log likelihood	−59.54109	Hannan-Quinn criterion		4.76383
F-statistic	0.834154	Durbin-Watson stat		1.89702
Prob(F-statistic)	0.488861
C	−0.432504	0.561868	−0.769761	0.4493
AR(1)	0.216624	0.254482	0.851234	0.4034
MA(2)	0.059218	0.213943	0.276794	0.7844
SIGMASQ	5.045582	1.243431	4.05779	0.0005
R-squared	0.048074	Mean dependent var		−0.32737
Adjusted R-squared	−0.076091	S.D. dependent var		2.34612
S.E. of regression	2.433737	Akaike info criterion		4.75493
Sum squared resid	136.2307	Schwarz criterion		4.94691
Log likelihood	−60.19159	Hannan-Quinn criterion		4.81202
F-statistic	0.387178	Durbin-Watson stat		1.87339
Prob(F-statistic)	0.763274
C	−0.400998	0.591967	−0.677399	0.5049
AR(1)	0.144087	0.23986	0.600712	0.5539
MA(3)	0.135537	0.29874	0.453695	0.6543
SIGMASQ	5.001099	1.18911	4.205749	0.0003
R-squared	0.056466	Mean dependent var		−0.32737
Adjusted R-squared	−0.066603	S.D. dependent var		2.34612
S.E. of regression	2.422985	Akaike info criterion		4.7467
Sum squared resid	135.0297	Schwarz criterion		4.93867
Log likelihood	−60.08043	Hannan-Quinn criterion		4.80378
F-statistic	0.458815	Durbin-Watson stat		1.82619
Prob(F-statistic)	0.713703
C	−0.517398	0.601336	−0.860413	0.3984
AR(1)	0.214886	0.232745	0.923271	0.3655
MA(4)	0.286418	0.220949	1.296307	0.2077
SIGMASQ	4.611844	1.12449	4.101277	0.0004
R-squared	0.129905	Mean dependent var		−0.32737
Adjusted R-squared	0.016415	S.D. dependent var		2.34612
S.E. of regression	2.32678	Akaike info criterion		4.67728
Sum squared resid	124.5198	Schwarz criterion		4.86925
Log likelihood	−59.14326	Hannan-Quinn criterion		4.73436
F-statistic	1.144633	Durbin-Watson stat		1.86541
Prob(F-statistic)	0.352113

Source(s): Authors calculation via EViews 13 software

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