Imran Arch Garch

8/6/2019 Imran Arch Garch

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Date KSE FTSE LOG KSE LOG FTSE R KSE R FTSE

12/31/1997 5135.5 1753.82 8.54 7.47

1/2/1998 5458.5 1609.16 8.6 7.38 0.01 -0.01

2/2/1998 5767.3 1681.83 8.66 7.43 0.01 0.01

3/2/1998 5932.2 1553.06 8.69 7.35 0 -0.01

4/1/1998 5928.3 1562.22 8.69 7.35 0 0

5/1/1998 5870.7 1040.19 8.68 6.95 0 -0.06

6/1/1998 5832.5 879.61 8.67 6.78 0 -0.02

7/1/1998 5837 920.48 8.67 6.82 0 0.01

8/3/1998 5249.4 970.78 8.57 6.88 -0.01 0.01

9/1/1998 5064.4 1111.46 8.53 7.01 0 0.02

10/1/1998 5438.4 841.7 8.6 6.74 0.01 -0.04

11/2/1998 5743.9 1050.97 8.66 6.96 0.01 0.03

12/1/1998 5882.6 945.24 8.68 6.85 0 -0.02

1/4/1999 5896 900.58 8.68 6.8 0 -0.01

2/1/1999 6175.1 926.21 8.73 6.83 0.01 0

3/1/1999 6295.3 1056.75 8.75 6.96 0 0.02

4/1/1999 6552.2 1107.02 8.79 7.01 0 0.01

5/4/1999 6226.2 1222 8.74 7.11 -0.01 0.01

6/1/1999 6318.5 1054.67 8.75 6.96 0 -0.02

7/1/1999 6231.9 1251.79 8.74 7.13 0 0.02

8/2/1999 6246.4 1206.51 8.74 7.1 0 -0.01

9/1/1999 6029.8 1199.29 8.7 7.09 0 0

10/1/1999 6255.7 1189.32 8.74 7.08 0 0

11/1/1999 6597.2 1247.4 8.79 7.13 0.01 0.01

12/1/1999 6930.2 1408.91 8.84 7.25 0.01 0.02

1/4/2000 6268.5 1772.84 8.74 7.48 -0.01 0.032/1/2000 6232.6 1930.61 8.74 7.57 0 0.01

3/1/2000 6540.2 1999.69 8.79 7.6 0.01 0

4/3/2000 6327.4 1901.07 8.75 7.55 0 -0.01

5/2/2000 6359.3 1536.65 8.76 7.34 0 -0.03

6/1/2000 6312.7 1520.73 8.75 7.33 0 0

7/3/2000 6365.3 1554.9 8.76 7.35 0 0

8/1/2000 6672.7 1518.27 8.81 7.33 0.01 0

9/1/2000 6294.2 1564.78 8.75 7.36 -0.01 0

10/2/2000 6438.4 1489.32 8.77 7.31 0 -0.01

11/1/2000 6142.2 1276.05 8.72 7.15 -0.01 -0.0212/1/2000 6222.5 1507.59 8.74 7.32 0 0.02

1/2/2001 6297.5 1461.6 8.75 7.29 0 0

2/1/2001 5917.9 1423.18 8.69 7.26 -0.01 0

3/1/2001 5633.7 1324.41 8.64 7.19 -0.01 -0.01

4/2/2001 5966.9 1367.05 8.69 7.22 0.01 0

5/1/2001 5796.1 1377.61 8.66 7.23 0 0

6/1/2001 5642.5 1366.43 8.64 7.22 0 0

7/2/2001 5529.1 1228.89 8.62 7.11 0 -0.01



8/1/2001 5345 1258.43 8.58 7.14 0 0

9/3/2001 4903.4 1133.43 8.5 7.03 -0.01 -0.01

10/1/2001 5039.7 1406.05 8.53 7.25 0 0.03

11/1/2001 5203.6 1358.16 8.56 7.21 0 0

12/3/2001 5217.4 1273.06 8.56 7.15 0 -0.01

1/2/2002 5164.8 1620.18 8.55 7.39 0 0.03

2/1/2002 5101 1765.95 8.54 7.48 0 0.01

3/1/2002 5271.8 1868.11 8.57 7.53 0 0.01

4/2/2002 5165.6 1898.95 8.55 7.55 0 0

5/1/2002 5085.1 1663.34 8.53 7.42 0 -0.02

6/5/2002 4656.4 1770.11 8.45 7.48 -0.01 0.01

7/1/2002 4246.2 1787.59 8.35 7.49 -0.01 0

8/1/2002 4227.3 1974.58 8.35 7.59 0 0.01

9/2/2002 3721.8 2018.75 8.22 7.61 -0.02 0

10/1/2002 4039.7 2278.54 8.3 7.73 0.01 0.02

11/1/2002 4169.4 2285.87 8.34 7.73 0 0

12/2/2002 3940.4 2701.41 8.28 7.9 -0.01 0.02

1/2/2003 3567.4 2545.07 8.18 7.84 -0.01 -0.01

2/3/2003 3655.6 2399.14 8.2 7.78 0 -0.01

3/3/2003 3613.3 2715.71 8.19 7.91 0 0.02

4/1/2003 3926 2902.41 8.28 7.97 0.01 0.01

5/1/2003 4048.1 3099.04 8.31 8.04 0 0.01

6/2/2003 4031.2 3402.47 8.3 8.13 0 0.01

7/1/2003 4157 3933.37 8.33 8.28 0 0.02

8/1/2003 4161.1 4461.47 8.33 8.4 0 0.02

9/1/2003 4091.3 4027.34 8.32 8.3 0 -0.01

10/1/2003 4287.6 3781.03 8.36 8.24 0.01 -0.01

11/3/2003 4342.6 4068.29 8.38 8.31 0 0.01

12/1/2003 4476.9 4471.6 8.41 8.41 0 0.01

1/2/2004 4390.7 4841.33 8.39 8.48 0 0.01

2/2/2004 4492.2 4840.37 8.41 8.48 0 0

3/1/2004 4385.7 5106.66 8.39 8.54 0 0.01

4/1/2004 4489.7 5430.43 8.41 8.6 0 0.01

5/4/2004 4430.7 5497.79 8.4 8.61 0 0

6/1/2004 4464.1 5279.18 8.4 8.57 0 0

7/1/2004 4413.1 5289.92 8.39 8.57 0 0

8/2/2004 4459.3 5346.15 8.4 8.58 0 0

9/1/2004 4570.8 5217.65 8.43 8.56 0 0

10/1/2004 4624.2 5332.24 8.44 8.58 0 0

11/1/2004 4703.2 5567.79 8.46 8.62 0 0.01

12/1/2004 4814.3 6218.4 8.48 8.74 0 0.01

1/4/2005 4852.3 6747.39 8.49 8.82 0 0.01

2/1/2005 4968.5 8260.06 8.51 9.02 0 0.02

3/1/2005 4894.4 7770.33 8.5 8.96 0 -0.01

4/1/2005 4801.7 7104.65 8.48 8.87 0 -0.01



5/3/2005 4964 6857.67 8.51 8.83 0 0

6/1/2005 5113.2 7450.12 8.54 8.92 0 0.01

7/1/2005 5282.3 7178.93 8.57 8.88 0 0

8/1/2005 5296.9 7796.86 8.57 8.96 0 0.01

9/1/2005 5477.7 8225.66 8.61 9.02 0 0.01

10/3/2005 5317.3 8247.37 8.58 9.02 0 0

11/1/2005 5423.2 9026.59 8.6 9.11 0 0.01

12/1/2005 5618.8 9556.61 8.63 9.16 0 0.01

1/3/2006 5760.3 10523.37 8.66 9.26 0 0.01

2/1/2006 5791.5 11456.12 8.66 9.35 0 0.01

3/1/2006 5964.6 11485.9 8.69 9.35 0 0

4/3/2006 6023.1 11342.17 8.7 9.34 0 0

5/2/2006 5723.8 9800.69 8.65 9.19 -0.01 -0.02

6/1/2006 5833.4 9989.41 8.67 9.21 0 0

7/3/2006 5928.3 10497.66 8.69 9.26 0 0.01

8/1/2006 5906.1 10063.54 8.68 9.22 0 0

9/1/2006 5960.8 10512.52 8.69 9.26 0 0

10/2/2006 6129.2 11327.71 8.72 9.34 0 0.01

11/1/2006 6048.8 10619.47 8.71 9.27 0 -0.01

12/1/2006 6220.8 10040.5 8.74 9.21 0 -0.01

1/2/2007 6203.1 11272.33 8.73 9.33 0 0.01

2/1/2007 6171.5 11180.02 8.73 9.32 0 0

3/1/2007 6308 11271.59 8.75 9.33 0 0

4/2/2007 6449.2 12369.7 8.77 9.42 0 0.01

5/1/2007 6621.4 12961.14 8.8 9.47 0 0

6/1/2007 6607.9 13772.46 8.8 9.53 0 0.01

7/2/2007 6360.1 13739.53 8.76 9.53 0 0

8/1/2007 6303.3 12214.26 8.75 9.41 0 -0.01

9/3/2007 6466.8 13353.68 8.77 9.5 0 0.01

10/1/2007 6721.6 14321.39 8.81 9.57 0 0.01

11/1/2007 6432.5 13998.52 8.77 9.55 -0.01 0

12/3/2007 6456.9 14077.16 8.77 9.55 0 0

1/2/2008 5879.8 14016.94 8.68 9.55 -0.01 0

2/1/2008 5884.3 14934.3 8.68 9.61 0 0.01

3/3/2008 5702.1 15125.89 8.65 9.62 0 0

4/1/2008 6087.3 15122.47 8.71 9.62 0.01 0

5/1/2008 6053.5 12130.51 8.71 9.4 0 -0.02

6/2/2008 5625.9 12289.03 8.64 9.42 -0.01 0

7/1/2008 5411.9 10583.58 8.6 9.27 0 -0.02

8/1/2008 5636.6 9208.26 8.64 9.13 0 -0.02

9/1/2008 4902.5 9179.68 8.5 9.12 -0.02 0

10/1/2008 4377.3 9182.88 8.38 9.13 -0.01 0

11/3/2008 4288 9187.1 8.36 9.13 0 0

12/1/2008 4434.2 5865.01 8.4 8.68 0 -0.05

1/2/2009 4149.6 5377.42 8.33 8.59 -0.01 -0.01



2/2/2009 3830.1 5727.46 8.25 8.65 -0.01 0.01

3/2/2009 3926.1 6860.22 8.28 8.83 0 0.02

4/1/2009 4243.7 7202.1 8.35 8.88 0.01 0.01

5/1/2009 4417.9 7276.61 8.39 8.89 0 0

6/1/2009 4249.2 7162.18 8.35 8.88 0 0

7/1/2009 4608.4 7720.93 8.44 8.95 0.01 0.01

8/3/2009 4908.9 8675.67 8.5 9.07 0.01 0.01

9/1/2009 5133.9 9349.67 8.54 9.14 0.01 0.01

10/1/2009 5044.5 9159.18 8.53 9.12 0 0

11/2/2009 5190.7 9206.21 8.55 9.13 0 0

12/1/2009 5412.9 9386.92 8.6 9.15 0 0

1/4/2010 5188.5 9614.19 8.55 9.17 0 0

2/1/2010 5354.5 9657.79 8.59 9.18 0 0

3/1/2010 5679.6 10178.43 8.64 9.23 0.01 0.01

4/1/2010 5553.3 10428.12 8.62 9.25 0 0

5/4/2010 5188.4 9326.42 8.55 9.14 -0.01 -0.01

6/1/2010 4916.9 9721.91 8.5 9.18 -0.01 0

7/1/2010 5258 10519.02 8.57 9.26 0.01 0.01

8/2/2010 5225.2 9813.05 8.56 9.19 0 -0.01

9/1/2010 5548.6 10013.31 8.62 9.21 0.01 0

10/1/2010 5675.2 10598.4 8.64 9.27 0 0.01

11/1/2010 5528.3 11234.76 8.62 9.33 0 0.01

12/1/2010 5899.9 12022.46 8.68 9.39 0.01 0.01

1/4/2011 5862.9 12359.36 8.68 9.42 0 0

2/1/2011 5994 11289.22 8.7 9.33 0 -0.01

3/1/2011 5908.8 11809.54 8.68 9.38 0 0

4/1/2011 5996 11684.23 8.7 9.37 0 0



LOG KSE LOG FTSE

Mean 8.58 Mean 8.34

Standard Error 0.01 Standard Error 0.07

Median 8.62 Median 8.58

Mode 8.69 Mode #N/A

Standard Deviatio 0.16 Standard Deviatio 0.93

Sample Variance 0.03 Sample Variance 0.87

Kurtosis -0.62 Kurtosis -1.55

Skewness -0.6 Skewness -0.25

Range 0.66 Range 2.89

Minimum 8.18 Minimum 6.74

Maximum 8.84 Maximum 9.62

Sum 1381.36 Sum 1342.43

Count 161 Count 161

KSE FTSE

KSE 1FTSE 0.17 1



AUTO REGGR-1

Dependent Variable: SER01

Method: Least Squares

Date: 05/25/11 Time: 18:20

Sample (adjusted): 2 160

Included observations: 159 after adjustments

Variable CoefficientStd. Error t-Statistic

C 6.04E-05 0 0.15

SER01(-1) 0.08 0.08 0.98

R-squared 0.01 Mean dependent var

Adjusted R-squared 0 S.D. dependent var

S.E. of regression 0.01 Akaike info criterion

Sum squared resid 0 Schwarz criterion

Log likelihood 614.31 Hannan-Quinn criter.

F-statistic 0.95 Durbin-Watson statProb(F-statistic) 0.33

ARCH Effect

Heteroskedasticity Test: ARCH

F-statistic 5.18 Prob. F(1,156)

Obs*R-squared 5.08 Prob. Chi-Square(1)

Test Equation:Dependent Variable: RESID^2


Date: 05/25/11 Time: 18:21



Variable CoefficientStd. Error t-Statistic

C 2.11E-05 3.89E-06 5.42

RESID^2(-1) 0.18 0.08 2.28

R-squared 0.03 Mean dependent var

Adjusted R-squared 0.03 S.D. dependent var

S.E. of regression 4.16E-05 Akaike info criterion

Sum squared resid 2.70E-07 Schwarz criterion


F-statistic 5.18 Durbin-Watson stat

Prob(F-statistic) 0.02



ARCH MODEL


Method: ML - ARCH (Marquardt) - Normal distribution

Date: 05/25/11 Time: 18:22



Convergence achieved after 20 iterationsPresample variance: backcast (parameter = 0.7)

GARCH = C(3) + C(4)*RESID(-1)^2

Variable CoefficientStd. Error z-Statisti

C 0 0 0.32

SER01(-1) 0.05 0.09 0.56

Variance Equation

C 2.24E-05 2.99E-06 7.48

RESID(-1)^2 0.13 0.11 1.13

R-squared 0 Mean dependent var

Adjusted R-squared 0 S.D. dependent var




Durbin-Watson stat 1.94

GARCH MODEL



Date: 05/25/11 Time: 18:23



Convergence achieved after 30 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)


C 0 0 0.85

SER01(-1) -0.01 0.08 -0.15

Variance Equation

C 1.99E-06 1.98E-06 1

RESID(-1)^2 0.18 0.07 2.64



GARCH(-1) 0.75 0.12 6.11

R-squared -0.01 Mean dependent var

Adjusted R-squared -0.01 S.D. dependent var





GARCH MODEL WITH OTHER VARIABLE



Date: 05/25/11 Time: 18:25



Convergence achieved after 25 iterations

Presample variance: backcast (parameter = 0.7)

GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) + C(6)*SER02


C 0 0 1.12

SER01(-1) -0.03 0.09 -0.36

Variance Equation

C 2.08E-06 1.66E-06 1.25

RESID(-1)^2 0.18 0.08 2.46GARCH(-1) 0.75 0.11 7.1

SER02 0 9.99E-05 -1.82

R-squared -0.01 Mean dependent var

Adjusted R-squared -0.02 S.D. dependent var







Prob.

0.88

0.33

6.83E-05

0.01

-7.7

-7.66

-7.69

2

0.02

0.02

Prob.

0

0.02

2.58E-05

4.22E-05

-17.32

-17.28

-17.31

2.01



Prob.

0.75

0.58

0

0.26

6.83E-05

0.01

-7.7

-7.62

-7.67

Prob.

0.4

0.88

0.32

0.01



0

6.83E-05

0.01

-7.77

-7.67

-7.73

Prob.

0.26

0.72

0.21

0.010

0.07

6.83E-05

0.01

-7.78

-7.67

-7.73



Null Hypothesis: SER01 has a unit root

Exogenous: Constant, Linear Trend

Lag Length: 0 (Automatic - based on SIC, maxlag=13)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -1.64 0.77

Test critical values: 1% level -4.02

5% level -3.44

10% level -3.14

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(SER01)


Date: 05/25/11 Time: 18:40



Variable CoefficienStd. Error t-Statistic Prob.

SER01(-1) -0.04 0.02 -1.64 0.1C 0.31 0.19 1.64 0.1

-1.#NAN 2.13E-06 7.54E-05 0.03 0.98

R-squared 0.02 Mean dependent 0

Adjusted R-squared 0 S.D. dependent v 0.04

S.E. of regression 0.04 Akaike info criteri -3.41

Sum squared resid 0.3 Schwarz criterion -3.35

Log likelihood 275.72 Hannan-Quinn cri -3.39

F-statistic 1.38 Durbin-Watson st 1.8

Prob(F-statistic) 0.25

DIFFERENCE 1

Null Hypothesis: D(SER01) has a unit root



t-Statistic Prob.*



Augmented Dickey-Fuller test statistic -11.67 0


5% level -3.44

10% level -3.14



Dependent Variable: D(SER01,2)


Date: 05/25/11 Time: 18:41




D(SER01(-1)) -0.93 0.08 -11.67 0

C 0 0.01 -0.31 0.76

-1.#NAN 3.31E-05 7.55E-05 0.44 0.66


Adjusted R-squared 0.46 S.D. dependent v 0.06



Log likelihood 273.62 Hannan-Quinn cri -3.38

F-statistic 68.09 Durbin-Watson st 2Prob(F-statistic) 0

Null Hypothesis: D(SER01,2) has a unit root



t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -14.56 0


5% level -3.44

10% level -3.14



Dependent Variable: D(SER01,3)




Date: 05/25/11 Time: 18:43




D(SER01(-1),2) -2.72 0.19 -14.56 0D(SER01(-1),3) 0.99 0.14 7.23 0

D(SER01(-2),3) 0.39 0.07 5.27 0

C 0 0.01 -0.29 0.78

-1.#NAN 2.23E-05 8.34E-05 0.27 0.79


Adjusted R-squared 0.79 S.D. dependent v 0.1



Log likelihood 258.51 Hannan-Quinn cri -3.21F-statistic 142.77 Durbin-Watson st 2.11



COINTEGRATION ANALYSIS (KSE & FTSE)Date: 05/25/11 Time: 18:47



Trend assumption: Linear deterministic trend

Series: SER01 SER02

Lags interval (in first differences): 1 to 4

Unrestricted Cointegration Rank Test (Trace)

Hypothesized Trace

No. of CE(s) EigenvalueStatistic

None 0.05 8.9

At most 1 0.01 1.2

Trace test indicates no cointegration at the 0.05 level* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegration Rank Test (Maximum Eigenvalue)

Hypothesized Max-Eigen

No. of CE(s) EigenvalueStatistic

None 0.05 7.71

At most 1 0.01 1.2

Max-eigenvalue test indicates no cointegration at the 0.05 level

* denotes rejection of the hypothesis at the 0.05 level

**MacKinnon-Haug-Michelis (1999) p-values

Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I):

SER01 SER02

-6.58 -0.26

1.18 -1.07

Unrestricted Adjustment Coefficients (alpha):

D(SER01) 0.01 0

D(SER02) 0.02 0



1 Cointegrating Equation(s): Log likelihood

Normalized cointegrating coefficients (standard error in parentheses)

SER01 SER02

1 0.04

-0.06

Adjustment coefficients (standard error in parentheses)D(SER01) -0.03

-0.02

D(SER02) -0.13

-0.05



0.05

Critical Valu Prob.**

15.49 0.37

3.84 0.27

0.05

Critical Valu Prob.**

14.26 0.41

3.84 0.27



418



Granger Causality Tests

Pairwise Granger Causality Tests

Date: 05/25/11 Time: 18:52

Sample: 1 161

Lags: 2

Null Hypothesis: Obs F-StatisticProb.

SER02 does not Granger Cause SER01 158 2.27 0.11

SER01 does not Granger Cause SER02 0.6 0.55

Vector Autoregression Estimates

Date: 05/25/11 Time: 18:53



Standard errors in ( ) & t-statistics in [ ]

SER01 SER02

SER01(-1) 0.05 0.16

-0.08 -0.2

[ 0.64158[ 0.78742]

SER01(-2) -0.09 0.14

-0.08 -0.2

[-1.14672[ 0.70821]

SER02(-1) 0.05 0

-0.03 -0.08

[ 1.48307[-0.04677]

SER02(-2) 0.05 0.03

-0.03 -0.08

[ 1.54624[ 0.36993]

C 0 0

0 0

[-0.25543[ 1.34726]

R-squared 0.04 0.01

Adj. R-squared 0.01 -0.02

Sum sq. resids 0 0.03

S.E. equation 0.01 0.01

F-statistic 1.54 0.37

Log likelihood 613.36 465.16



Akaike AIC -7.7 -5.82

Schwarz SC -7.6 -5.73

Mean dependent 2.84E-05 0

S.D. dependent 0.01 0.01

Determinant resid covariance (dof adj.) 4.28E-09

Determinant resid covariance 4.01E-09

Log likelihood 1079.04Akaike information criterion -13.53

Schwarz criterion -13.34



Response of SER01:

Period SER01 SER02

1 0.01 0

0 0

2 0 0

0 0

3 0 0

0 0

4 3.12E-05 -8.35E-07

0 0

5 7.34E-05 -2.73E-05

-8.30E-05 -7.80E-05

6 3.29E-07 1.30E-05

-1.70E-05 -2.00E-05

7 -6.92E-06 8.47E-06

-1.60E-05 -1.30E-05

-.002

.000

.002

.004

.006

1 2 3 4 5 6 7 8 9 10

Response of SER01 to SER01

-.002

.000

.002

.004

.006

1 2 3 4 5 6

Respons e of SER01

-.004

.000

.004

.008

.012

.016

1 2 3 4 5 6 7 8 9 10

Response of SER02 to SER01

-.004

.000

.004

.008

.012

.016

1 2 3 4 5 6

Respons e of SER02

Response to Cholesky One S.D. Innovations ± 2 S.E.



8 8.90E-07 -6.44E-07

-3.50E-06 -3.70E-06

9 1.13E-06 -5.80E-07

-2.70E-06 -2.10E-06

10-7.85E-08 2.41E-07

-5.30E-07 -6.30E-07

Response of SER02:Period SER01 SER02

1 0 0.01

0 0

2 0 -4.88E-05

0 0

3 0 0

0 0

4 8.52E-06 0

0 05 -2.17E-05 0

0 0

6 1.66E-05 7.46E-07

-3.30E-05 -3.90E-05

7 9.85E-06 1.41E-06

-2.30E-05 -2.10E-05

8 -6.05E-07 3.24E-06

-4.60E-06 -6.80E-06

9 -5.51E-07 1.14E-06

-2.70E-06 -3.10E-0610 2.92E-07 -9.27E-08

-8.80E-07 -1.00E-06

Cholesky Ordering: SER01 SER02

Standard Errors: Analytic



7 8 9 10

to SER02

7 8 9 10

to SER02



Variance Decomposition of SER01:

Period S.E. SER01 SER02

1 0.01 100 0

2 0.01 98.59 1.41

3 0.01 96.99 3.01

4 0.01 96.99 3.015 0.01 96.99 3.01

6 0.01 96.99 3.01

7 0.01 96.99 3.01

8 0.01 96.99 3.01

9 0.01 96.99 3.01

10 0.01 96.99 3.01

Variance Decomposition of SER02:

Period S.E. SER01 SER02

1 0.01 0.66 99.34

2 0.01 1.05 98.95

3 0.01 1.42 98.58

4 0.01 1.42 98.58

5 0.01 1.42 98.58

6 0.01 1.42 98.58

7 0.01 1.42 98.58

8 0.01 1.42 98.58

9 0.01 1.42 98.58

10 0.01 1.42 98.58

Cholesky Ordering: SER01 SER02

Imran Arch Garch

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Transcript of Imran Arch Garch