------------------------------------------------------------------------------------------- . * Osa 1 EGARCH mudel . arch LRET, earch(1/1) egarch(1/1) arima(1,0,0)distribution(ged) (setting optimization to BHHH) Iteration 0: Log likelihood = -8827.4859 Iteration 1: Log likelihood = -4730.6557 Iteration 2: Log likelihood = -4729.5225 Iteration 3: Log likelihood = -4719.2463 Iteration 4: Log likelihood = -4712.8549 (switching optimization to BFGS) Iteration 5: Log likelihood = -4557.5693 Iteration 6: Log likelihood = -4485.81 Iteration 7: Log likelihood = -4240.5007 Iteration 8: Log likelihood = -4173.1703 Iteration 9: Log likelihood = -4150.5285 Iteration 10: Log likelihood = -4077.4184 Iteration 11: Log likelihood = -3981.5044 Iteration 12: Log likelihood = -3926.8607 Iteration 13: Log likelihood = -3922.4872 Iteration 14: Log likelihood = -3922.2367 (switching optimization to BHHH) Iteration 15: Log likelihood = -3922.0186 Iteration 16: Log likelihood = -3811.0802 Iteration 17: Log likelihood = -3777.7969 Iteration 18: Log likelihood = -3749.7464 Iteration 19: Log likelihood = -3718.8925 (switching optimization to BFGS) Iteration 20: Log likelihood = -3670.4303 Iteration 21: Log likelihood = -3658.9999 Iteration 22: Log likelihood = -3601.4756 Iteration 23: Log likelihood = -3575.5055 Iteration 24: Log likelihood = -3539.8131 Iteration 25: Log likelihood = -3517.9953 Iteration 26: Log likelihood = -3493.7435 Iteration 27: Log likelihood = -3488.043 Iteration 28: Log likelihood = -3463.9384 Iteration 29: Log likelihood = -3460.6949 (switching optimization to BHHH) Iteration 30: Log likelihood = -3459.8396 Iteration 31: Log likelihood = -3458.9494 Iteration 32: Log likelihood = -3458.8778 Iteration 33: Log likelihood = -3458.8672 Iteration 34: Log likelihood = -3458.8649 (switching optimization to BFGS) Iteration 35: Log likelihood = -3458.8642 Iteration 36: Log likelihood = -3458.8641 Iteration 37: Log likelihood = -3458.8641 Iteration 38: Log likelihood = -3458.8641 ARCH family regression -- AR disturbances Sample: 16nov2010 thru 13nov2020 Number of obs = 2518 Wald chi2(1) = 6.83 Log likelihood = -3458.864 Prob > chi2 = 0.0090 ------------------------------------------------------------------------------ | OPG LRET | Coefficient std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- LRET | _cons | .093033 .014758 6.30 0.000 .0641079 .1219581 -------------+---------------------------------------------------------------- ARMA | ar | L1. | -.0512481 .0196119 -2.61 0.009 -.0896868 -.0128095 -------------+---------------------------------------------------------------- ARCH | earch | L1. | -.1593163 .0139609 -11.41 0.000 -.1866791 -.1319534 | earch_a | L1. | .1842643 .0247691 7.44 0.000 .1357177 .2328109 | egarch | L1. | .9589381 .0070996 135.07 0.000 .945023 .9728531 | _cons | -.0003656 .00439 -0.08 0.934 -.0089698 .0082387 -------------+---------------------------------------------------------------- /lnshape | .250403 .0349012 7.17 0.000 .1819979 .318808 -------------+---------------------------------------------------------------- shape | 1.284543 .0448321 1.199612 1.375487 ------------------------------------------------------------------------------ . * osa 2, GARCH-M mudel . arch LRET, arch(1/1) garch(1/1) archm arima(1,0,0)distribution(ged) (setting optimization to BHHH) Iteration 0: Log likelihood = -3706.2913 Iteration 1: Log likelihood = -3571.777 Iteration 2: Log likelihood = -3498.0811 Iteration 3: Log likelihood = -3490.8059 Iteration 4: Log likelihood = -3490.23 (switching optimization to BFGS) Iteration 5: Log likelihood = -3490.1688 Iteration 6: Log likelihood = -3490.1628 Iteration 7: Log likelihood = -3490.1627 Iteration 8: Log likelihood = -3490.1627 ARCH family regression -- AR disturbances Sample: 16nov2010 thru 13nov2020 Number of obs = 2518 Wald chi2(2) = 23.09 Log likelihood = -3490.163 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ | OPG LRET | Coefficient std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- LRET | _cons | .0749281 .0201082 3.73 0.000 .0355166 .1143395 -------------+---------------------------------------------------------------- ARCHM | sigma2 | .0588804 .0173183 3.40 0.001 .0249372 .0928237 -------------+---------------------------------------------------------------- ARMA | ar | L1. | -.0612366 .020034 -3.06 0.002 -.1005026 -.0219706 -------------+---------------------------------------------------------------- ARCH | arch | L1. | .1537097 .0214417 7.17 0.000 .1116848 .1957346 | garch | L1. | .8147526 .02421 33.65 0.000 .7673018 .8622034 | _cons | .0466994 .0102993 4.53 0.000 .0265132 .0668856 -------------+---------------------------------------------------------------- /lnshape | .2243258 .036308 6.18 0.000 .1531634 .2954882 -------------+---------------------------------------------------------------- shape | 1.251479 .0454387 1.165515 1.343782 ------------------------------------------------------------------------------ -------------------------------------------------------------------------------------------