Table 3 ARCH model
Dependent variable: log of real exchange rate (LRER) | ||||
|---|---|---|---|---|
Method: ML - ARCH (Marquardt) - Normal distribution | ||||
GARCH = C(6) + C(7)*RESID(−1)^2 + C(8)*GARCH(−1) | ||||
Mean equation | ||||
| Â | Coefficient | Std.Error | z-Statistic | Prob |
C | −3.329 | 13.792 | −0.241 | 0.809 |
LPROD | 0.791 | 0.2726 | 2.901 | 0.000 |
LTO | −0.056 | 0.092 | −0.613 | 0.407 |
LTOT | 0.508 | 0.091 | 5.534 | 0.000 |
LGEX | −0.107 | 0.141 | −2.369 | 0.017 |
Variance equation | ||||
C | 0.996 | 0.090 | 11.044 | 0.000 |
RESID(−1)^2 | −0.160 | 0.001 | −103.234 | 0.000 |
GARCH(−1) | 1.137 | 0.011 | 94.975 | 0.000 |
Statistical tests | ||||
R-squared | 0.753 | Mean dependent var | 45.818 | |
Adjusted R squared | 0.678 | S.D. dependent var | 14.240 | |
S.E. of regression | 8.075 | Akaike info criterion | 6.387 | |
Sum squared resid | 1499.796 | Schwarz criterion | 6.757 | |
Log likelihood | −91.000 | F-statistic | 10.042 | |
Durbin-Watson stat | 1.973 | Prob(F-statistic) | 0.000 | |