AutoSEARCH-package: General-to-Specific (GETS) Modelling
In AutoSEARCH: General-to-Specific (GETS) Modelling
Description
Details
Author(s)
References
See Also
Examples
Description
GETS modelling of the mean and variance of a regression.
NOTE: The package has been succeeded by the package gets, also available on the CRAN, which is more user-friendly, faster and easier to extend. The development focus has switched to gets, so users are therefore encouraged to consider gets instead.
Details
Package: AutoSEARCH
Type: Package
Version: 1.5
Date: 2015-03-27
License: GPL-2
LazyLoad: yes
The code was originally developed in relation with G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility
Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735.
Author(s)
Genaro Sucarrat, http://www.sucarrat.net/
References
G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735
See Also
AutoSEARCH package: sm, gets.mean, gets.vol
gets package: arx, getsm, getsv, isat
Examples
1
2
3
4
5
6
7
8
9
10
11
12
13
14
#Generate from AR(1) model:
set.seed(123)
y <- arima.sim(list(ar=0.4), 200)
#Estimate AR(2) with intercept as mean specification
#and log-ARCH(4) as log-volatility specification:
sm(y, mc=TRUE, ar=1:2, arch=1:4)
#General-to-Specific model selection of the mean:
mymodel <- gets.mean(y, mc=TRUE, ar=1:2, arch=1:4)
#General-to-Specific model selection of the
#simplified mean specification:
gets.vol(mymodel$resids, arch=1:4)
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: lgarch
$call
sm(y, mc = TRUE, ar = 1:2, arch = 1:4)
$mean.fit
1 2 3 4 5
NA NA -0.2495784396 0.3095006228 0.1993901769
6 7 8 9 10
0.1957343371 0.0985108108 -0.1483807121 0.5367371821 0.3176273173
11 12 13 14 15
-0.5323285511 0.0737543459 -0.1497208988 -0.3961607564 -0.1993258323
16 17 18 19 20
-0.4103575001 -0.3727142866 -0.3331320167 -0.6663207222 0.0558311867
21 22 23 24 25
0.0427762599 -0.3616592244 0.2960243594 0.2147765678 -0.0268269708
26 27 28 29 30
0.2867500939 0.3693973853 0.3845694810 0.3491105693 0.2952096581
31 32 33 34 35
0.0772954705 -0.0700819795 -0.1456616614 -0.2759055570 -0.1596254193
36 37 38 39 40
-0.4727599434 0.5536202683 0.5437009180 -0.1893999903 -0.1751148218
41 42 43 44 45
-0.2127109324 0.1802597556 0.0172524806 0.0887253300 0.0149761955
46 47 48 49 50
-0.0103670879 0.4396481389 0.0562063363 0.5201611164 -0.3470998138
51 52 53 54 55
0.0967461421 0.0574517123 0.0861462589 0.1480570117 -0.1195494733
56 57 58 59 60
-0.1439098550 -0.3821651233 -0.4733493540 -0.0602279804 0.1090988651
61 62 63 64 65
0.0435865787 0.3128617140 0.7606867773 0.0769006826 -0.7092364793
66 67 68 69 70
0.1128466815 -0.2206066063 -0.2934137556 0.2348980651 -0.0341743709
71 72 73 74 75
-0.4056227478 -0.0682840790 -0.0815119975 -0.0296690592 0.1101459563
76 77 78 79 80
-0.0920088200 0.1813762522 -0.0227153976 0.1025843695 0.3845924025
81 82 83 84 85
0.2579557627 -0.0198789792 0.3731170941 0.4335798721 0.3176580899
86 87 88 89 90
0.1843645485 -0.1415176558 0.4029084488 -0.0802083785 0.6958094944
91 92 93 94 95
0.7057366687 0.1542749063 -0.2684980902 -0.3099371960 -0.0213651361
96 97 98 99 100
-0.1002195175 -0.1488471704 -0.3618841576 -0.1329246607 -0.3106855789
101 102 103 104 105
-0.6462317241 -0.3334163742 0.1745539685 -0.1496139442 0.1528811017
106 107 108 109 110
-0.4880935039 -0.1659873893 0.1012218548 0.1190275151 0.0693152268
111 112 113 114 115
-0.1875420004 -0.3349944548 -0.4442429696 -0.1106172537 -0.3598014638
116 117 118 119 120
-0.2773263854 -0.1822731186 0.5323467895 -0.0603910240 0.0696223993
121 122 123 124 125
0.0425848251 -0.3019626937 -0.1171949391 0.4225427870 0.2675697718
126 127 128 129 130
0.1030380309 -0.1009672032 -0.6991771060 0.1497672962 -0.4545063664
131 132 133 134 135
0.1016167161 0.6359784956 -0.2789091446 0.1589020700 -0.0470866313
136 137 138 139 140
-0.5259506949 -0.6577796210 -0.7406023334 -0.4223180552 -0.6316809507
141 142 143 144 145
0.0138358408 0.6647033089 -0.2223082751 0.2046277499 0.3043792495
146 147 148 149 150
0.2025901579 -0.2610686533 -0.1150616445 -0.1368969269 0.1340889805
151 152 153 154 155
-0.0885726480 0.2911302535 -0.0394101623 0.3355295146 -0.2437308465
156 157 158 159 160
-0.4783664148 0.9003819673 0.1196633810 0.1547532971 0.2566044427
161 162 163 164 165
-0.0781323517 0.1489367971 0.1602786473 -0.0208719344 0.0163688516
166 167 168 169 170
-0.0098797823 0.6870438840 -0.0365312295 -0.3516558611 -0.0973423026
171 172 173 174 175
0.0577128159 0.1522514800 -0.1053351985 -0.3773931463 0.2904412633
176 177 178 179 180
-0.0405236299 -0.2904449039 -0.1693328332 -0.1278452554 0.3132356847
181 182 183 184 185
0.1148670814 0.2855950559 -0.0752649040 0.0520747627 -0.0949173433
186 187 188 189 190
-0.0002887488 -0.2979760844 -0.5213734319 0.4796608611 0.3217151275
191 192 193 194 195
-0.3009307295 -0.2835513516 -0.4836819090 0.5564736707 0.5779266976
196 197 198 199 200
0.1004525154 0.2221042612 -0.0663938508 -0.1719879164 -0.3140196375
$resids
1 2 3 4 5 6
NA NA 1.135444283 0.404659542 0.487045339 0.189522585
7 8 9 10 11 12
-0.500249177 1.774598503 0.611600412 -1.824909436 0.630771605 -0.507168532
13 14 15 16 17 18
-1.091468482 -0.318289910 -1.112458883 -0.843247615 -0.753767027 -1.804153820
19 20 21 22 23 24
0.649193432 0.090691015 -1.122304316 1.183662923 0.459241342 -0.207741770
25 26 27 28 29 30
0.924766551 0.950559226 0.947107424 0.830672697 0.690903955 0.058884441
31 32 33 34 35 36
-0.241620494 -0.376119031 -0.727525722 -0.281286674 -1.328647825 2.046406611
37 38 39 40 41 42
1.283800397 -0.931841235 -0.368740972 -0.514796917 0.716711355 -0.062028653
43 44 45 46 47 48
0.283358474 0.002972297 -0.021167602 1.376492809 -0.118968836 1.588535989
49 50 51 52 53 54
-1.411016990 0.575371214 0.118416662 0.244554978 0.414295900 -0.450203601
55 56 57 58 59 60
-0.334516546 -1.056291936 -1.169706820 0.156129218 0.381549705 0.072434051
61 62 63 64 65 66
0.951294056 2.135175225 -0.272503168 -2.190796114 0.869416831 -0.757975303
67 68 69 70 71 72
-0.725453459 0.940561099 -0.260812135 -1.196908969 0.094492891 -0.195059226
73 74 75 76 77 78
-0.018061139 0.375120206 -0.342625529 0.643393539 -0.181308926 0.354524292
79 80 81 82 83 84
1.126978201 0.542414117 -0.213084741 1.186635006 1.087089173 0.698899594
85 86 87 88 89 90
0.374065432 -0.535581216 1.361683437 -0.515101723 2.222664062 1.693783405
91 92 93 94 95 96
0.014400132 -0.892641086 -0.737254946 0.164519691 -0.283493744 -0.369266634
97 98 99 100 101 102
-0.990565857 -0.138908778 -0.852296983 -1.751345015 -0.558807034 0.770397480
103 104 105 106 107 108
-0.575108489 0.597356458 -1.591666804 -0.142982743 0.432964095 0.306722189
109 110 111 112 113 114
0.149826297 -0.602479710 -0.875428139 -1.114322392 -0.017837172 -1.021689417
115 116 117 118 119 120
-0.583678648 -0.356157852 1.772741429 -0.548109367 0.289472565 0.099971067
121 122 123 124 125 126
-0.936604073 -0.126953092 1.390179483 0.538155084 0.157942299 -0.355330035
127 128 129 130 131 132
-2.053196820 0.968848710 -1.502538726 0.653345306 1.887022429 -1.284415999
133 134 135 136 137 138
0.721318479 -0.244135826 -1.559151030 -1.631212023 -1.806621640 -0.776064693
139 140 141 142 143 144
-1.646104340 0.492228765 2.030492226 -1.134002558 0.822327423 0.804422150
145 146 147 148 149 150
0.431443290 -0.916637751 -0.144002990 -0.327362348 0.522916863 -0.352119762
151 152 153 154 155 156
0.978333722 -0.309806682 1.084651057 -0.966610164 -1.268856658 3.114371348
157 158 159 160 161 162
-0.262837582 0.433581965 0.703114515 -0.397237943 0.538740996 0.404271188
163 164 165 166 167 168
-0.154375961 0.088526042 -0.023374462 2.135529437 -0.578120118 -1.015895531
169 170 171 172 173 174
-0.031526444 0.254550130 0.441693794 -0.410854169 -1.061432011 1.173871439
175 176 177 178 179 180
-0.321500334 -0.837412861 -0.297009261 -0.262824727 1.064902521 0.146324514
181 182 183 184 185 186
0.823010783 -0.409735927 0.240053865 -0.310845090 0.085992741 -0.898644450
187 188 189 190 191 192
-1.372398729 1.850436891 0.652673346 -1.120052806 -0.629570259 -1.274129128
193 194 195 196 197 198
2.059420066 1.386234569 -0.065988459 0.647516839 -0.337256467 -0.455913926
199 200
-0.825538032 -0.679608009
$volatility.fit
1 2 3 4 5 6 7 8
NA NA NA NA NA NA 0.6697269 0.7877470
9 10 11 12 13 14 15 16
1.0428586 1.2399873 1.3262708 1.0202974 1.0268584 0.9335210 0.9038319 1.0444831
17 18 19 20 21 22 23 24
0.9886776 1.1792535 1.1767465 1.1248384 0.7277344 0.7267447 0.9898592 1.2819067
25 26 27 28 29 30 31 32
0.7470641 0.8017707 1.0309710 1.2863480 1.0828155 1.0219740 0.6155878 0.5529963
33 34 35 36 37 38 39 40
0.6031589 1.0656492 0.8891686 1.0521862 1.2370777 1.5348364 1.1997448 0.8793371
41 42 43 44 45 46 47 48
0.8285348 0.8790271 0.6571720 0.6046747 0.2468245 0.2650486 0.4429743 0.9883848
49 50 51 52 53 54 55 56
1.3525563 1.0258596 1.3808522 0.6819838 0.5742084 0.6687782 0.9215608 0.8614261
57 58 59 60 61 62 63 64
0.9794851 1.1457920 0.9099480 0.7161266 0.4908879 0.8278026 1.1153379 1.2780955
65 66 67 68 69 70 71 72
1.1595828 1.0151655 1.2826645 0.9284309 1.0493028 0.8637145 0.9780272 0.6574787
73 74 75 76 77 78 79 80
0.6737449 0.3246017 0.5560075 0.6439748 1.2034643 0.7618620 0.7648010 0.8797964
81 82 83 84 85 86 87 88
1.1011625 0.8598575 0.8611936 1.0824916 1.2648437 0.8779635 0.8282250 1.0293563
89 90 91 92 93 94 95 96
1.0842766 1.3001960 1.2812643 0.6280856 0.5644241 0.6695388 1.1560067 0.6647384
97 98 99 100 101 102 103 104
0.6728968 1.0319474 0.8004823 0.8964747 1.0201613 1.3184772 1.0518792 0.8741590
105 106 107 108 109 110 111 112
0.9730478 1.1108916 0.8422351 0.7885306 0.6328409 0.7395704 0.7494831 0.9611141
113 114 115 116 117 118 119 120
1.3010808 0.5545090 0.6314705 0.6953018 1.2807652 1.0210097 1.0514034 0.9515043
121 122 123 124 125 126 127 128
0.5394940 0.7448431 0.6898009 1.1002005 0.8754822 0.9168345 0.6407258 0.9912280
129 130 131 132 133 134 135 136
1.3646445 1.4370124 1.0258816 1.2425038 1.2006578 1.2178075 0.7887560 0.9382377
137 138 139 140 141 142 143 144
1.1990739 1.6291933 1.1756920 1.1997854 0.9780289 1.2448390 1.1444057 1.2690493
145 146 147 148 149 150 151 152
0.9899299 0.9019268 0.9762719 0.7281308 0.7347563 0.7099341 0.9178342 1.0099440
153 154 155 156 157 158 159 160
0.8712525 1.0628870 1.0193330 1.3293053 1.4334266 1.0650077 0.8533168 0.7330492
161 162 163 164 165 166 167 168
0.9490094 0.9177757 0.8222734 0.7144050 0.5251473 0.3530264 0.7114933 1.0246016
169 170 171 172 173 174 175 176
1.6262655 0.5165561 0.5462509 0.5690858 1.0477918 1.0598479 1.1717253 1.0234159
177 178 179 180 181 182 183 184
0.9268334 0.7721382 0.8027376 0.8483063 0.7882341 0.9348586 0.7684237 0.8946676
185 186 187 188 189 190 191 192
0.6836637 0.5683319 0.7898155 1.0545399 1.6817656 1.1873112 1.1079006 0.9493185
193 194 195 196 197 198 199 200
1.1609794 1.2702501 1.4325874 0.7378329 0.6607598 0.6461305 1.0392426 0.9118387
$resids.ustar
1 2 3 4 5 6
NA NA NA NA NA NA
7 8 9 10 11 12
0.26465153 2.63479086 0.22374634 2.23702375 0.04507016 -0.12885384
13 14 15 16 17 18
1.39760815 -0.97172930 1.56332159 0.86455280 0.69510730 2.26436590
19 20 21 22 23 24
0.22226159 -3.66916918 1.79765130 1.90547185 -0.29710214 -2.14220330
25 26 27 28 29 30
1.38424054 1.36858720 1.10987759 0.62621807 0.42999064 -4.43702863
31 32 33 34 35 36
-1.10653205 -0.11423106 1.11842690 -1.35128195 1.93485609 2.63036483
37 38 39 40 41 42
1.53596174 0.67945472 -0.92836644 0.04968551 0.77099641 -4.18231396
43 44 45 46 47 48
-0.85321132 -9.88471192 -5.06242523 3.21598403 -2.19447975 2.18637305
49 50 51 52 53 54
1.63568921 0.11805357 -3.34072840 -1.18481681 0.04147733 0.05525624
55 56 57 58 59 60
-0.85938720 1.50775940 1.58329873 -2.60117450 -0.58359634 -3.66719503
61 62 63 64 65 66
1.86073950 2.95514214 -1.46030334 2.57222310 0.82113870 0.67980351
67 68 69 70 71 72
0.35820789 1.20076618 -1.48697161 1.75506192 -3.44717937 -1.60049698
73 74 75 76 77 78
-6.38401753 0.41320311 -0.30619677 0.80716242 -2.35124603 -0.55290282
79 80 81 82 83 84
1.75628362 0.15367794 -1.93943301 1.74229595 1.56550736 0.45330234
85 86 87 88 89 90
-0.95253352 0.13040897 2.05497810 -0.10665120 2.76556416 2.04047857
91 92 93 94 95 96
-7.47981897 1.48700163 1.21137045 -1.95921970 -1.41703781 -0.33504682
97 98 99 100 101 102
1.62626964 -2.73025918 1.15196457 2.47911747 0.06520127 0.45088936
103 104 105 106 107 108
0.09209274 0.35307460 2.20594974 -2.74616144 -0.25344076 -0.87697745
109 110 111 112 113 114
-2.08995702 0.53734739 1.27135125 1.50521931 -7.06707251 1.88165157
115 116 117 118 119 120
0.63195883 -0.45228903 2.14666078 0.02571123 -1.28045122 -3.30697373
121 122 123 124 125 126
1.73519859 -2.58422944 2.27928222 -0.08564528 -2.30900646 -0.73352399
127 128 129 130 131 132
3.13301388 1.19458128 1.75248250 0.03519893 2.49351211 1.53254388
133 134 135 136 137 138
0.41284554 -1.76804906 2.37464532 2.29146269 2.25043190 0.25394037
139 140 141 142 143 144
2.08403026 -0.35070198 2.68783669 1.28156491 0.72294541 0.57553397
145 146 147 148 149 150
-0.42205308 1.17820019 -2.60276415 -0.66703652 0.26061499 -0.49592057
151 152 153 154 155 156
1.29099380 -1.10444427 1.54940430 1.12015541 1.70614808 3.23646230
157 158 159 160 161 162
-1.78344162 -0.48526674 0.70321760 -0.28683303 0.06436000 -0.47647232
163 164 165 166 167 168
-2.29198215 -3.26354766 -5.61908185 3.80770570 0.49350615 1.25630133
169 170 171 172 173 174
-6.15107933 -0.82687944 0.21946414 0.03375431 1.32161712 1.51155313
175 176 177 178 179 180
-1.17892650 0.87104211 -1.10293832 -1.16487987 1.59455805 -2.43027917
181 182 183 184 185 186
1.09745237 -0.46806063 -1.34130575 -0.97655398 -3.27763156 1.60037817
187 188 189 190 191 192
2.11814027 2.42680314 -0.12413703 1.30412461 0.22116163 1.78560094
193 194 195 196 197 198
2.54464906 1.66303261 -4.54696884 0.68388108 -0.51039414 0.11491540
199 200
0.82713208 0.56887807
$resids.std
1 2 3 4 5 6
NA NA NA NA NA NA
7 8 9 10 11 12
-0.611276237 1.999432419 0.598901037 -1.638825445 0.547716753 -0.502098482
13 14 15 16 17 18
-1.077099731 -0.329428242 -1.170146218 -0.825095881 -0.758070847 -1.661383802
19 20 21 22 23 24
0.598456590 0.085510452 -1.315600963 1.388471973 0.461587729 -0.183482914
25 26 27 28 29 30
1.069924610 1.061583349 0.932773116 0.732403972 0.663957750 0.058247949
31 32 33 34 35 36
-0.307956079 -0.505782972 -0.936768932 -0.272484635 -1.409022168 1.995012537
37 38 39 40 41 42
1.154247700 -0.752161122 -0.336648709 -0.548982166 0.787388210 -0.066159349
43 44 45 46 47 48
0.349539838 0.003822357 -0.042606660 2.673691057 -0.178749132 1.597842763
49 50 51 52 53 54
-1.213261911 0.568073030 0.100771845 0.296134812 0.546733710 -0.550513413
55 56 57 58 59 60
-0.348462145 -1.138085680 -1.181892875 0.145858351 0.399984192 0.085594898
61 62 63 64 65 66
1.357761880 2.346767826 -0.258028883 -1.937850699 0.807378474 -0.752292307
67 68 69 70 71 72
-0.640549974 0.976140265 -0.254611128 -1.287881834 0.095548456 -0.240561243
73 74 75 76 77 78
-0.022003784 0.658407969 -0.459493508 0.801756071 -0.165273253 0.406170000
79 80 81 82 83 84
1.288668777 0.578282308 -0.203061054 1.279687483 1.171425751 0.671742022
85 86 87 88 89 90
0.332605279 -0.571593276 1.496242509 -0.507703491 2.134537505 1.485434328
91 92 93 94 95 96
0.012721757 -1.126334705 -0.981329637 0.201062006 -0.263671574 -0.452912881
97 98 99 100 101 102
-1.207561142 -0.136741682 -0.952609902 -1.849705901 -0.553257664 0.670932059
103 104 105 106 107 108
-0.560746859 0.638908018 -1.613559791 -0.135658742 0.471775303 0.345410814
109 110 111 112 113 114
0.188339219 -0.700571826 -1.011205867 -1.136641176 -0.015637736 -1.372033169
115 116 117 118 119 120
-0.734509269 -0.427125844 1.566428695 -0.542440724 0.282307694 0.102487038
121 122 123 124 125 126
-1.275154333 -0.147099390 1.673820986 0.513063981 0.168800909 -0.371096154
127 128 129 130 131 132
-2.565042021 0.973126260 -1.286221910 0.545020094 1.863066855 -1.152276857
133 134 135 136 137 138
0.658290267 -0.221229067 -1.755564717 -1.684046059 -1.649849167 -0.608011250
139 140 141 142 143 144
-1.518135675 0.449381508 2.053172717 -1.016383133 0.768696255 0.714076562
145 146 147 148 149 150
0.433632179 -0.965188379 -0.145742464 -0.383640125 0.610043761 -0.417908669
151 152 153 154 155 156
1.021186123 -0.308277719 1.162031853 -0.937578888 -1.256766256 2.701207978
157 158 159 160 161 162
-0.219532962 0.420140772 0.761151180 -0.463963871 0.553024995 0.421992289
163 164 165 166 167 168
-0.170243901 0.104736678 -0.032255297 3.594197615 -0.685381950 -1.003625140
169 170 171 172 173 174
-0.024721753 0.354172287 0.597620099 -0.544626562 -1.036942501 1.140246520
175 176 177 178 179 180
-0.297008260 -0.827777382 -0.308509933 -0.299101585 1.188565293 0.158869580
181 182 183 184 185 186
0.926996124 -0.423770860 0.273847211 -0.328634505 0.104001718 -1.192029131
187 188 189 190 191 192
-1.544249537 1.801950140 0.503284032 -1.027912684 -0.598127542 -1.307698068
193 194 195 196 197 198
1.911316845 1.229963170 -0.055132467 0.753827634 -0.414895271 -0.567182373
199 200
-0.809801566 -0.711704100
$Elogzp
[1] -1.249064
$mean.results
coef s.e. t-stat p-val
mconst -0.005480761 0.06742842 -0.08128265 9.353005e-01
ar1 0.325691203 0.07161281 4.54794619 9.503037e-06
ar2 -0.031296776 0.07161202 -0.43703245 6.625714e-01
$volatility.results
coef s.e. t-stat p-val
vconst 0.11984626 0.23434247 0.2615453 0.6090605
arch1 0.09489383 0.07249894 1.3088996 0.1921576
arch2 0.07537243 0.07280093 1.0353224 0.3018412
arch3 0.04637822 0.07278500 0.6371947 0.5247691
arch4 -0.05000857 0.07245083 -0.6902416 0.4908890
$diagnostics
Chi^2 df p-val
Ljung-Box AR(3) 1.5962505 3 0.660240285
Ljung-Box ARCH(5) 2.3811096 5 0.794283916
Skewness 7.2210342 1 0.007205418
JB-test 8.5439327 2 0.013954317
R-squared 0.1004915 NA NA
[1] Searching path no. 1 out of 2
[1] Searching path no. 2 out of 2
[1] Searching path no. 1 out of 4
[1] Searching path no. 2 out of 4
[1] Searching path no. 3 out of 4
[1] Searching path no. 4 out of 4
$volatility.fit
3 4 5 6 7 8 9 10
NA NA NA NA 0.8966525 0.8966525 0.8966525 0.8966525
11 12 13 14 15 16 17 18
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
19 20 21 22 23 24 25 26
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
27 28 29 30 31 32 33 34
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
35 36 37 38 39 40 41 42
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
43 44 45 46 47 48 49 50
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
51 52 53 54 55 56 57 58
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
59 60 61 62 63 64 65 66
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
67 68 69 70 71 72 73 74
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
75 76 77 78 79 80 81 82
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
83 84 85 86 87 88 89 90
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
91 92 93 94 95 96 97 98
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
99 100 101 102 103 104 105 106
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
107 108 109 110 111 112 113 114
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
115 116 117 118 119 120 121 122
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
123 124 125 126 127 128 129 130
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
131 132 133 134 135 136 137 138
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
139 140 141 142 143 144 145 146
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
147 148 149 150 151 152 153 154
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
155 156 157 158 159 160 161 162
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
163 164 165 166 167 168 169 170
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
171 172 173 174 175 176 177 178
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
179 180 181 182 183 184 185 186
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
187 188 189 190 191 192 193 194
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
195 196 197 198 199 200
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
$resids.ustar
3 4 5 6 7
NA NA NA NA 7.203950e-02
8 9 10 11 12
2.489537e+00 4.574508e-01 2.618631e+00 2.583894e-01 -1.667977e-01
13 14 15 16 17
1.565153e+00 -8.971696e-01 1.531963e+00 1.016273e+00 7.387250e-01
18 19 20 21 22
2.521627e+00 5.295572e-01 -2.401892e+00 1.603755e+00 1.668740e+00
23 24 25 26 27
-3.713119e-02 -1.559356e+00 1.146490e+00 1.271897e+00 1.212298e+00
28 29 30 31 32
9.189696e-01 5.240507e-01 -5.964476e+00 -1.206716e+00 -4.945546e-01
33 34 35 36 37
7.434773e-01 -1.169336e+00 1.910275e+00 2.796316e+00 1.952625e+00
38 39 40 41 42
1.302778e+00 -2.955843e-01 3.418338e-02 7.150699e-01 -5.023290e+00
43 44 45 46 47
-1.302432e+00 -1.008821e+01 -5.329192e+00 1.993569e+00 -3.032695e+00
48 49 50 51 52
2.234792e+00 2.054462e+00 1.873898e-02 -2.522238e+00 -1.537742e+00
53 54 55 56 57
-4.407466e-01 -1.853529e-01 -6.841881e-01 1.477199e+00 1.685485e+00
58 59 60 61 62
-2.142592e+00 -3.610210e-01 -3.683752e+00 1.237760e+00 2.882548e+00
63 64 65 66 67
-1.143298e+00 3.004632e+00 9.889981e-01 6.411469e-01 7.707085e-01
68 69 70 71 72
1.255674e+00 -1.569767e+00 1.769198e+00 -3.742329e+00 -2.236047e+00
73 74 75 76 77
-6.855193e+00 -5.847843e-01 -7.815024e-01 4.261585e-01 -2.129539e+00
78 79 80 81 82
-8.397696e-01 1.601882e+00 1.292944e-01 -1.422393e+00 1.650761e+00
83 84 85 86 87
1.542163e+00 5.695217e-01 -8.264099e-01 2.414912e-01 1.938767e+00
88 89 90 91 92
-2.915614e-02 2.923467e+00 2.443083e+00 -5.357861e+00 1.297223e+00
93 94 95 96 97
8.505767e-01 -2.150679e+00 -1.335672e+00 -6.045765e-01 1.348908e+00
98 99 100 101 102
-2.552791e+00 9.869415e-01 2.486933e+00 1.845319e-01 9.640169e-01
103 104 105 106 107
1.291204e-01 2.574194e-01 2.281869e+00 -2.100847e+00 -1.590478e-01
108 109 110 111 112
-8.896502e-01 -2.565503e+00 4.044966e-01 1.143907e+00 1.581876e+00
113 114 115 116 117
-9.536337e+00 1.339265e+00 2.972739e-01 -8.176912e-01 2.531813e+00
118 119 120 121 122
5.172365e-02 -1.537601e+00 -3.294513e+00 1.259080e+00 -2.474365e+00
123 124 125 126 127
2.051751e+00 2.021249e-01 -2.839736e+00 -5.334771e-01 2.826166e+00
128 129 130 131 132
1.264374e+00 2.093190e+00 4.303689e-01 2.677468e+00 1.855123e+00
133 134 135 136 137
4.966404e-01 -1.616772e+00 2.280733e+00 2.368067e+00 2.523375e+00
138 139 140 141 142
7.597931e-01 2.293411e+00 3.527003e-02 2.839525e+00 1.584520e+00
143 144 145 146 147
7.867279e-01 9.686877e-01 -3.821193e-01 1.256717e+00 -2.068097e+00
148 149 150 151 152
-9.469476e-01 8.095578e-02 -7.910950e-01 1.282250e+00 -1.043049e+00
153 154 155 156 157
1.466502e+00 1.287682e+00 1.911761e+00 3.638426e+00 -1.901931e+00
158 159 160 161 162
-7.222560e-01 6.045702e-01 -4.086310e-01 4.760604e-04 -4.276122e-01
163 164 165 166 167
-2.190891e+00 -4.075835e+00 -5.757724e+00 2.876987e+00 2.160136e-01
168 169 170 171 172
1.533285e+00 -4.594697e+00 -1.191776e+00 -2.313763e-01 -3.857147e-01
173 174 175 176 177
1.530064e+00 1.672229e+00 -1.160413e+00 1.083914e+00 -9.746893e-01
178 179 180 181 182
-1.433220e+00 1.508714e+00 -2.254213e+00 9.021760e-01 -3.664180e-01
183 184 185 186 187
-1.812511e+00 -9.703214e-01 -3.872992e+00 1.147376e+00 2.020218e+00
188 189 190 191 192
2.604329e+00 6.888779e-01 1.656689e+00 5.905167e-01 1.834944e+00
193 194 195 196 197
2.819680e+00 2.102949e+00 -3.204745e+00 2.987850e-01 -7.248492e-01
198 199 200
-7.660975e-02 1.000218e+00 5.911352e-01
$resids.std
3 4 5 6 7 8
NA NA NA NA -0.552770591 1.851390086
9 10 11 12 13 14
0.670248627 -1.974832667 0.606750724 -0.490548649 -1.166193000 -0.340473921
15 16 17 18 19 20
-1.146999519 -0.886303759 -0.771460770 -1.881334439 0.694854134 0.160449202
21 22 23 24 25 26
-1.188920520 1.228185640 0.523406142 -0.244507338 0.945929973 1.007142147
27 28 29 30 31 32
0.977572512 0.844215761 0.692943647 0.027022924 -0.291653162 -0.416399859
33 34 35 36 37 38
-0.773296073 -0.297155488 -1.385838924 2.158310969 1.415496884 -1.022813352
39 40 41 42 43 44
-0.459956168 -0.542406116 0.762390012 -0.043262155 0.278023968 -0.003437752
45 46 47 48 49 50
-0.037126369 1.444773768 -0.117047048 1.629973809 -1.489437960 0.538233678
51 52 53 54 55 56
0.151079225 0.247164115 0.427754745 -0.486018587 -0.378732169 -1.116018813
57 58 59 60 61 62
-1.238512021 0.182660116 0.445150668 0.084524996 0.990097465 2.253404214
63 64 65 66 67 68
-0.301049453 -2.395241960 0.874298935 -0.734725363 -0.783896932 0.999005763
69 70 71 72 73 74
-0.243237863 -1.291451602 0.082085284 -0.174321275 -0.017310739 0.398031512
75 76 77 78 79 80
-0.360745284 0.659843424 -0.183856136 0.350387096 1.187807226 0.568823698
81 82 83 84 85 86
-0.261838233 1.217194673 1.152864333 0.708878535 0.352735458 -0.601645813
87 88 89 90 91 92
1.405722779 -0.525497406 2.299982905 1.808883468 -0.036597975 -1.019976202
93 94 95 96 97 98
-0.815834630 0.181923017 -0.273441366 -0.394111980 -1.046678587 -0.148788766
99 100 101 102 103 104
-0.873400380 -1.848980970 -0.584752836 0.863446337 -0.568774189 0.606456527
105 106 107 108 109 110
-1.668796621 -0.186512805 0.492453184 0.341756407 0.147846061 -0.652735268
111 112 113 114 115 116
-0.944709043 -1.175984674 -0.004530148 -1.041644307 -0.618662748 -0.354276518
117 118 119 120 121 122
1.890940791 -0.547184011 0.247181451 0.102685104 -1.000708352 -0.154739121
123 124 125 126 127 128
1.487420828 0.589919319 0.128902389 -0.408374556 -2.190765027 1.003360615
129 130 131 132 133 134
-1.518560823 0.661233992 2.033791614 -1.348144821 0.683511529 -0.237587774
135 136 137 138 139 140
-1.667848992 -1.742291664 -1.882979588 -0.779630350 -1.678455080 0.542700899
141 142 143 144 145 146
2.205447261 -1.177540711 0.790200946 0.865465191 0.440479404 -0.999526699
147 148 149 150 151 152
-0.189592060 -0.332104456 0.555240422 -0.359019183 1.012368868 -0.316523961
153 154 155 156 157 158
1.110065336 -1.015122476 -1.386868996 3.288333878 -0.206016867 0.371591566
159 160 161 162 163 164
0.721410577 -0.434679005 0.533341191 0.430573155 -0.178301848 0.069477707
165 166 167 168 169 170
-0.029965940 2.247146959 -0.594030179 -1.147758135 -0.053601376 0.293840036
171 172 173 174 175 176
0.474962184 -0.439688255 -1.145911298 1.230329976 -0.298484107 -0.916791687
177 178 179 180 181 182
-0.327529680 -0.260424560 1.133743389 0.172745075 0.837156728 -0.443951046
183 184 185 186 187 188
0.215436843 -0.328245768 0.076893978 -0.946348904 -1.464153134 1.960761056
189 190 191 192 193 194
0.752470876 -1.220807665 -0.716359184 -1.334611170 2.183672106 1.525989041
195 196 197 198 199 200
-0.107399001 0.619130342 -0.371110077 -0.513175786 -0.879217667 -0.716580725
$Elogzp
[1] -1.257664
$call
gets.vol(mymodel$resids, arch = 1:4)
$gum.volatility
reg keep coef s.e. t-stat p-val
arch1 2 0 0.09378478 0.07242963 1.2948400 1.969550e-01
arch2 3 0 0.07986714 0.07271610 1.0983419 2.734524e-01
arch3 4 0 0.04939158 0.07270680 0.6793255 4.977627e-01
arch4 5 0 -0.05818928 0.07237621 -0.8039835 4.224166e-01
vconst 1 1 -1.13793217 0.23579003 -4.8260402 2.863212e-06
$gum.diagnostics
stat p-val
Ljung-Box AR(1) 0.1118037 0.7380999
Ljung-Box ARCH(1) 0.3282977 0.5666632
$keep
[1] 1
$insigs.in.gum
[1] 2 3 4 5
$paths
$paths[[1]]
[1] 2 5 4 3
$paths[[2]]
[1] 3 5 4 2
$paths[[3]]
[1] 4 5 3 2
$paths[[4]]
[1] 5 4 3 2
$terminals
$terminals[[1]]
[1] 1 2 3 4 5
$terminals[[2]]
[1] 1
$terminals.results
info(sc) T k
spec1 (gum) 2.973647 194 5
spec2 2.865031 194 1
$specific.volatility
reg coef s.e. t-stat p-val
vconst 1 -0.1090869 0.1570381 -8.703308 0.4872731
$specific.diagnostics
stat p-val
Ljung-Box AR(1) 0.0170737 0.8960392
Ljung-Box ARCH(1) 0.4136325 0.5201315
AutoSEARCH documentation built on May 1, 2019, 10:31 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Details Author(s) References See Also Examples
Description
GETS modelling of the mean and variance of a regression.
NOTE: The package has been succeeded by the package gets, also available on the CRAN, which is more user-friendly, faster and easier to extend. The development focus has switched to gets, so users are therefore encouraged to consider gets instead.
Details
| Package: | AutoSEARCH |
| Type: | Package |
| Version: | 1.5 |
| Date: | 2015-03-27 |
| License: | GPL-2 |
| LazyLoad: | yes |
The code was originally developed in relation with G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735.
Author(s)
Genaro Sucarrat, http://www.sucarrat.net/
References
G. Sucarrat and A. Escribano (2012): 'Automated Financial Model Selection: General-to-Specific Modelling of the Mean and Volatility Specifications', Oxford Bulletin of Economics and Statistics 74, Issue 5 (October), pp. 716-735
See Also
AutoSEARCH package: sm, gets.mean, gets.vol
gets package: arx, getsm, getsv, isat
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | #Generate from AR(1) model:
set.seed(123)
y <- arima.sim(list(ar=0.4), 200)
#Estimate AR(2) with intercept as mean specification
#and log-ARCH(4) as log-volatility specification:
sm(y, mc=TRUE, ar=1:2, arch=1:4)
#General-to-Specific model selection of the mean:
mymodel <- gets.mean(y, mc=TRUE, ar=1:2, arch=1:4)
#General-to-Specific model selection of the
#simplified mean specification:
gets.vol(mymodel$resids, arch=1:4)
|
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Loading required package: lgarch
$call
sm(y, mc = TRUE, ar = 1:2, arch = 1:4)
$mean.fit
1 2 3 4 5
NA NA -0.2495784396 0.3095006228 0.1993901769
6 7 8 9 10
0.1957343371 0.0985108108 -0.1483807121 0.5367371821 0.3176273173
11 12 13 14 15
-0.5323285511 0.0737543459 -0.1497208988 -0.3961607564 -0.1993258323
16 17 18 19 20
-0.4103575001 -0.3727142866 -0.3331320167 -0.6663207222 0.0558311867
21 22 23 24 25
0.0427762599 -0.3616592244 0.2960243594 0.2147765678 -0.0268269708
26 27 28 29 30
0.2867500939 0.3693973853 0.3845694810 0.3491105693 0.2952096581
31 32 33 34 35
0.0772954705 -0.0700819795 -0.1456616614 -0.2759055570 -0.1596254193
36 37 38 39 40
-0.4727599434 0.5536202683 0.5437009180 -0.1893999903 -0.1751148218
41 42 43 44 45
-0.2127109324 0.1802597556 0.0172524806 0.0887253300 0.0149761955
46 47 48 49 50
-0.0103670879 0.4396481389 0.0562063363 0.5201611164 -0.3470998138
51 52 53 54 55
0.0967461421 0.0574517123 0.0861462589 0.1480570117 -0.1195494733
56 57 58 59 60
-0.1439098550 -0.3821651233 -0.4733493540 -0.0602279804 0.1090988651
61 62 63 64 65
0.0435865787 0.3128617140 0.7606867773 0.0769006826 -0.7092364793
66 67 68 69 70
0.1128466815 -0.2206066063 -0.2934137556 0.2348980651 -0.0341743709
71 72 73 74 75
-0.4056227478 -0.0682840790 -0.0815119975 -0.0296690592 0.1101459563
76 77 78 79 80
-0.0920088200 0.1813762522 -0.0227153976 0.1025843695 0.3845924025
81 82 83 84 85
0.2579557627 -0.0198789792 0.3731170941 0.4335798721 0.3176580899
86 87 88 89 90
0.1843645485 -0.1415176558 0.4029084488 -0.0802083785 0.6958094944
91 92 93 94 95
0.7057366687 0.1542749063 -0.2684980902 -0.3099371960 -0.0213651361
96 97 98 99 100
-0.1002195175 -0.1488471704 -0.3618841576 -0.1329246607 -0.3106855789
101 102 103 104 105
-0.6462317241 -0.3334163742 0.1745539685 -0.1496139442 0.1528811017
106 107 108 109 110
-0.4880935039 -0.1659873893 0.1012218548 0.1190275151 0.0693152268
111 112 113 114 115
-0.1875420004 -0.3349944548 -0.4442429696 -0.1106172537 -0.3598014638
116 117 118 119 120
-0.2773263854 -0.1822731186 0.5323467895 -0.0603910240 0.0696223993
121 122 123 124 125
0.0425848251 -0.3019626937 -0.1171949391 0.4225427870 0.2675697718
126 127 128 129 130
0.1030380309 -0.1009672032 -0.6991771060 0.1497672962 -0.4545063664
131 132 133 134 135
0.1016167161 0.6359784956 -0.2789091446 0.1589020700 -0.0470866313
136 137 138 139 140
-0.5259506949 -0.6577796210 -0.7406023334 -0.4223180552 -0.6316809507
141 142 143 144 145
0.0138358408 0.6647033089 -0.2223082751 0.2046277499 0.3043792495
146 147 148 149 150
0.2025901579 -0.2610686533 -0.1150616445 -0.1368969269 0.1340889805
151 152 153 154 155
-0.0885726480 0.2911302535 -0.0394101623 0.3355295146 -0.2437308465
156 157 158 159 160
-0.4783664148 0.9003819673 0.1196633810 0.1547532971 0.2566044427
161 162 163 164 165
-0.0781323517 0.1489367971 0.1602786473 -0.0208719344 0.0163688516
166 167 168 169 170
-0.0098797823 0.6870438840 -0.0365312295 -0.3516558611 -0.0973423026
171 172 173 174 175
0.0577128159 0.1522514800 -0.1053351985 -0.3773931463 0.2904412633
176 177 178 179 180
-0.0405236299 -0.2904449039 -0.1693328332 -0.1278452554 0.3132356847
181 182 183 184 185
0.1148670814 0.2855950559 -0.0752649040 0.0520747627 -0.0949173433
186 187 188 189 190
-0.0002887488 -0.2979760844 -0.5213734319 0.4796608611 0.3217151275
191 192 193 194 195
-0.3009307295 -0.2835513516 -0.4836819090 0.5564736707 0.5779266976
196 197 198 199 200
0.1004525154 0.2221042612 -0.0663938508 -0.1719879164 -0.3140196375
$resids
1 2 3 4 5 6
NA NA 1.135444283 0.404659542 0.487045339 0.189522585
7 8 9 10 11 12
-0.500249177 1.774598503 0.611600412 -1.824909436 0.630771605 -0.507168532
13 14 15 16 17 18
-1.091468482 -0.318289910 -1.112458883 -0.843247615 -0.753767027 -1.804153820
19 20 21 22 23 24
0.649193432 0.090691015 -1.122304316 1.183662923 0.459241342 -0.207741770
25 26 27 28 29 30
0.924766551 0.950559226 0.947107424 0.830672697 0.690903955 0.058884441
31 32 33 34 35 36
-0.241620494 -0.376119031 -0.727525722 -0.281286674 -1.328647825 2.046406611
37 38 39 40 41 42
1.283800397 -0.931841235 -0.368740972 -0.514796917 0.716711355 -0.062028653
43 44 45 46 47 48
0.283358474 0.002972297 -0.021167602 1.376492809 -0.118968836 1.588535989
49 50 51 52 53 54
-1.411016990 0.575371214 0.118416662 0.244554978 0.414295900 -0.450203601
55 56 57 58 59 60
-0.334516546 -1.056291936 -1.169706820 0.156129218 0.381549705 0.072434051
61 62 63 64 65 66
0.951294056 2.135175225 -0.272503168 -2.190796114 0.869416831 -0.757975303
67 68 69 70 71 72
-0.725453459 0.940561099 -0.260812135 -1.196908969 0.094492891 -0.195059226
73 74 75 76 77 78
-0.018061139 0.375120206 -0.342625529 0.643393539 -0.181308926 0.354524292
79 80 81 82 83 84
1.126978201 0.542414117 -0.213084741 1.186635006 1.087089173 0.698899594
85 86 87 88 89 90
0.374065432 -0.535581216 1.361683437 -0.515101723 2.222664062 1.693783405
91 92 93 94 95 96
0.014400132 -0.892641086 -0.737254946 0.164519691 -0.283493744 -0.369266634
97 98 99 100 101 102
-0.990565857 -0.138908778 -0.852296983 -1.751345015 -0.558807034 0.770397480
103 104 105 106 107 108
-0.575108489 0.597356458 -1.591666804 -0.142982743 0.432964095 0.306722189
109 110 111 112 113 114
0.149826297 -0.602479710 -0.875428139 -1.114322392 -0.017837172 -1.021689417
115 116 117 118 119 120
-0.583678648 -0.356157852 1.772741429 -0.548109367 0.289472565 0.099971067
121 122 123 124 125 126
-0.936604073 -0.126953092 1.390179483 0.538155084 0.157942299 -0.355330035
127 128 129 130 131 132
-2.053196820 0.968848710 -1.502538726 0.653345306 1.887022429 -1.284415999
133 134 135 136 137 138
0.721318479 -0.244135826 -1.559151030 -1.631212023 -1.806621640 -0.776064693
139 140 141 142 143 144
-1.646104340 0.492228765 2.030492226 -1.134002558 0.822327423 0.804422150
145 146 147 148 149 150
0.431443290 -0.916637751 -0.144002990 -0.327362348 0.522916863 -0.352119762
151 152 153 154 155 156
0.978333722 -0.309806682 1.084651057 -0.966610164 -1.268856658 3.114371348
157 158 159 160 161 162
-0.262837582 0.433581965 0.703114515 -0.397237943 0.538740996 0.404271188
163 164 165 166 167 168
-0.154375961 0.088526042 -0.023374462 2.135529437 -0.578120118 -1.015895531
169 170 171 172 173 174
-0.031526444 0.254550130 0.441693794 -0.410854169 -1.061432011 1.173871439
175 176 177 178 179 180
-0.321500334 -0.837412861 -0.297009261 -0.262824727 1.064902521 0.146324514
181 182 183 184 185 186
0.823010783 -0.409735927 0.240053865 -0.310845090 0.085992741 -0.898644450
187 188 189 190 191 192
-1.372398729 1.850436891 0.652673346 -1.120052806 -0.629570259 -1.274129128
193 194 195 196 197 198
2.059420066 1.386234569 -0.065988459 0.647516839 -0.337256467 -0.455913926
199 200
-0.825538032 -0.679608009
$volatility.fit
1 2 3 4 5 6 7 8
NA NA NA NA NA NA 0.6697269 0.7877470
9 10 11 12 13 14 15 16
1.0428586 1.2399873 1.3262708 1.0202974 1.0268584 0.9335210 0.9038319 1.0444831
17 18 19 20 21 22 23 24
0.9886776 1.1792535 1.1767465 1.1248384 0.7277344 0.7267447 0.9898592 1.2819067
25 26 27 28 29 30 31 32
0.7470641 0.8017707 1.0309710 1.2863480 1.0828155 1.0219740 0.6155878 0.5529963
33 34 35 36 37 38 39 40
0.6031589 1.0656492 0.8891686 1.0521862 1.2370777 1.5348364 1.1997448 0.8793371
41 42 43 44 45 46 47 48
0.8285348 0.8790271 0.6571720 0.6046747 0.2468245 0.2650486 0.4429743 0.9883848
49 50 51 52 53 54 55 56
1.3525563 1.0258596 1.3808522 0.6819838 0.5742084 0.6687782 0.9215608 0.8614261
57 58 59 60 61 62 63 64
0.9794851 1.1457920 0.9099480 0.7161266 0.4908879 0.8278026 1.1153379 1.2780955
65 66 67 68 69 70 71 72
1.1595828 1.0151655 1.2826645 0.9284309 1.0493028 0.8637145 0.9780272 0.6574787
73 74 75 76 77 78 79 80
0.6737449 0.3246017 0.5560075 0.6439748 1.2034643 0.7618620 0.7648010 0.8797964
81 82 83 84 85 86 87 88
1.1011625 0.8598575 0.8611936 1.0824916 1.2648437 0.8779635 0.8282250 1.0293563
89 90 91 92 93 94 95 96
1.0842766 1.3001960 1.2812643 0.6280856 0.5644241 0.6695388 1.1560067 0.6647384
97 98 99 100 101 102 103 104
0.6728968 1.0319474 0.8004823 0.8964747 1.0201613 1.3184772 1.0518792 0.8741590
105 106 107 108 109 110 111 112
0.9730478 1.1108916 0.8422351 0.7885306 0.6328409 0.7395704 0.7494831 0.9611141
113 114 115 116 117 118 119 120
1.3010808 0.5545090 0.6314705 0.6953018 1.2807652 1.0210097 1.0514034 0.9515043
121 122 123 124 125 126 127 128
0.5394940 0.7448431 0.6898009 1.1002005 0.8754822 0.9168345 0.6407258 0.9912280
129 130 131 132 133 134 135 136
1.3646445 1.4370124 1.0258816 1.2425038 1.2006578 1.2178075 0.7887560 0.9382377
137 138 139 140 141 142 143 144
1.1990739 1.6291933 1.1756920 1.1997854 0.9780289 1.2448390 1.1444057 1.2690493
145 146 147 148 149 150 151 152
0.9899299 0.9019268 0.9762719 0.7281308 0.7347563 0.7099341 0.9178342 1.0099440
153 154 155 156 157 158 159 160
0.8712525 1.0628870 1.0193330 1.3293053 1.4334266 1.0650077 0.8533168 0.7330492
161 162 163 164 165 166 167 168
0.9490094 0.9177757 0.8222734 0.7144050 0.5251473 0.3530264 0.7114933 1.0246016
169 170 171 172 173 174 175 176
1.6262655 0.5165561 0.5462509 0.5690858 1.0477918 1.0598479 1.1717253 1.0234159
177 178 179 180 181 182 183 184
0.9268334 0.7721382 0.8027376 0.8483063 0.7882341 0.9348586 0.7684237 0.8946676
185 186 187 188 189 190 191 192
0.6836637 0.5683319 0.7898155 1.0545399 1.6817656 1.1873112 1.1079006 0.9493185
193 194 195 196 197 198 199 200
1.1609794 1.2702501 1.4325874 0.7378329 0.6607598 0.6461305 1.0392426 0.9118387
$resids.ustar
1 2 3 4 5 6
NA NA NA NA NA NA
7 8 9 10 11 12
0.26465153 2.63479086 0.22374634 2.23702375 0.04507016 -0.12885384
13 14 15 16 17 18
1.39760815 -0.97172930 1.56332159 0.86455280 0.69510730 2.26436590
19 20 21 22 23 24
0.22226159 -3.66916918 1.79765130 1.90547185 -0.29710214 -2.14220330
25 26 27 28 29 30
1.38424054 1.36858720 1.10987759 0.62621807 0.42999064 -4.43702863
31 32 33 34 35 36
-1.10653205 -0.11423106 1.11842690 -1.35128195 1.93485609 2.63036483
37 38 39 40 41 42
1.53596174 0.67945472 -0.92836644 0.04968551 0.77099641 -4.18231396
43 44 45 46 47 48
-0.85321132 -9.88471192 -5.06242523 3.21598403 -2.19447975 2.18637305
49 50 51 52 53 54
1.63568921 0.11805357 -3.34072840 -1.18481681 0.04147733 0.05525624
55 56 57 58 59 60
-0.85938720 1.50775940 1.58329873 -2.60117450 -0.58359634 -3.66719503
61 62 63 64 65 66
1.86073950 2.95514214 -1.46030334 2.57222310 0.82113870 0.67980351
67 68 69 70 71 72
0.35820789 1.20076618 -1.48697161 1.75506192 -3.44717937 -1.60049698
73 74 75 76 77 78
-6.38401753 0.41320311 -0.30619677 0.80716242 -2.35124603 -0.55290282
79 80 81 82 83 84
1.75628362 0.15367794 -1.93943301 1.74229595 1.56550736 0.45330234
85 86 87 88 89 90
-0.95253352 0.13040897 2.05497810 -0.10665120 2.76556416 2.04047857
91 92 93 94 95 96
-7.47981897 1.48700163 1.21137045 -1.95921970 -1.41703781 -0.33504682
97 98 99 100 101 102
1.62626964 -2.73025918 1.15196457 2.47911747 0.06520127 0.45088936
103 104 105 106 107 108
0.09209274 0.35307460 2.20594974 -2.74616144 -0.25344076 -0.87697745
109 110 111 112 113 114
-2.08995702 0.53734739 1.27135125 1.50521931 -7.06707251 1.88165157
115 116 117 118 119 120
0.63195883 -0.45228903 2.14666078 0.02571123 -1.28045122 -3.30697373
121 122 123 124 125 126
1.73519859 -2.58422944 2.27928222 -0.08564528 -2.30900646 -0.73352399
127 128 129 130 131 132
3.13301388 1.19458128 1.75248250 0.03519893 2.49351211 1.53254388
133 134 135 136 137 138
0.41284554 -1.76804906 2.37464532 2.29146269 2.25043190 0.25394037
139 140 141 142 143 144
2.08403026 -0.35070198 2.68783669 1.28156491 0.72294541 0.57553397
145 146 147 148 149 150
-0.42205308 1.17820019 -2.60276415 -0.66703652 0.26061499 -0.49592057
151 152 153 154 155 156
1.29099380 -1.10444427 1.54940430 1.12015541 1.70614808 3.23646230
157 158 159 160 161 162
-1.78344162 -0.48526674 0.70321760 -0.28683303 0.06436000 -0.47647232
163 164 165 166 167 168
-2.29198215 -3.26354766 -5.61908185 3.80770570 0.49350615 1.25630133
169 170 171 172 173 174
-6.15107933 -0.82687944 0.21946414 0.03375431 1.32161712 1.51155313
175 176 177 178 179 180
-1.17892650 0.87104211 -1.10293832 -1.16487987 1.59455805 -2.43027917
181 182 183 184 185 186
1.09745237 -0.46806063 -1.34130575 -0.97655398 -3.27763156 1.60037817
187 188 189 190 191 192
2.11814027 2.42680314 -0.12413703 1.30412461 0.22116163 1.78560094
193 194 195 196 197 198
2.54464906 1.66303261 -4.54696884 0.68388108 -0.51039414 0.11491540
199 200
0.82713208 0.56887807
$resids.std
1 2 3 4 5 6
NA NA NA NA NA NA
7 8 9 10 11 12
-0.611276237 1.999432419 0.598901037 -1.638825445 0.547716753 -0.502098482
13 14 15 16 17 18
-1.077099731 -0.329428242 -1.170146218 -0.825095881 -0.758070847 -1.661383802
19 20 21 22 23 24
0.598456590 0.085510452 -1.315600963 1.388471973 0.461587729 -0.183482914
25 26 27 28 29 30
1.069924610 1.061583349 0.932773116 0.732403972 0.663957750 0.058247949
31 32 33 34 35 36
-0.307956079 -0.505782972 -0.936768932 -0.272484635 -1.409022168 1.995012537
37 38 39 40 41 42
1.154247700 -0.752161122 -0.336648709 -0.548982166 0.787388210 -0.066159349
43 44 45 46 47 48
0.349539838 0.003822357 -0.042606660 2.673691057 -0.178749132 1.597842763
49 50 51 52 53 54
-1.213261911 0.568073030 0.100771845 0.296134812 0.546733710 -0.550513413
55 56 57 58 59 60
-0.348462145 -1.138085680 -1.181892875 0.145858351 0.399984192 0.085594898
61 62 63 64 65 66
1.357761880 2.346767826 -0.258028883 -1.937850699 0.807378474 -0.752292307
67 68 69 70 71 72
-0.640549974 0.976140265 -0.254611128 -1.287881834 0.095548456 -0.240561243
73 74 75 76 77 78
-0.022003784 0.658407969 -0.459493508 0.801756071 -0.165273253 0.406170000
79 80 81 82 83 84
1.288668777 0.578282308 -0.203061054 1.279687483 1.171425751 0.671742022
85 86 87 88 89 90
0.332605279 -0.571593276 1.496242509 -0.507703491 2.134537505 1.485434328
91 92 93 94 95 96
0.012721757 -1.126334705 -0.981329637 0.201062006 -0.263671574 -0.452912881
97 98 99 100 101 102
-1.207561142 -0.136741682 -0.952609902 -1.849705901 -0.553257664 0.670932059
103 104 105 106 107 108
-0.560746859 0.638908018 -1.613559791 -0.135658742 0.471775303 0.345410814
109 110 111 112 113 114
0.188339219 -0.700571826 -1.011205867 -1.136641176 -0.015637736 -1.372033169
115 116 117 118 119 120
-0.734509269 -0.427125844 1.566428695 -0.542440724 0.282307694 0.102487038
121 122 123 124 125 126
-1.275154333 -0.147099390 1.673820986 0.513063981 0.168800909 -0.371096154
127 128 129 130 131 132
-2.565042021 0.973126260 -1.286221910 0.545020094 1.863066855 -1.152276857
133 134 135 136 137 138
0.658290267 -0.221229067 -1.755564717 -1.684046059 -1.649849167 -0.608011250
139 140 141 142 143 144
-1.518135675 0.449381508 2.053172717 -1.016383133 0.768696255 0.714076562
145 146 147 148 149 150
0.433632179 -0.965188379 -0.145742464 -0.383640125 0.610043761 -0.417908669
151 152 153 154 155 156
1.021186123 -0.308277719 1.162031853 -0.937578888 -1.256766256 2.701207978
157 158 159 160 161 162
-0.219532962 0.420140772 0.761151180 -0.463963871 0.553024995 0.421992289
163 164 165 166 167 168
-0.170243901 0.104736678 -0.032255297 3.594197615 -0.685381950 -1.003625140
169 170 171 172 173 174
-0.024721753 0.354172287 0.597620099 -0.544626562 -1.036942501 1.140246520
175 176 177 178 179 180
-0.297008260 -0.827777382 -0.308509933 -0.299101585 1.188565293 0.158869580
181 182 183 184 185 186
0.926996124 -0.423770860 0.273847211 -0.328634505 0.104001718 -1.192029131
187 188 189 190 191 192
-1.544249537 1.801950140 0.503284032 -1.027912684 -0.598127542 -1.307698068
193 194 195 196 197 198
1.911316845 1.229963170 -0.055132467 0.753827634 -0.414895271 -0.567182373
199 200
-0.809801566 -0.711704100
$Elogzp
[1] -1.249064
$mean.results
coef s.e. t-stat p-val
mconst -0.005480761 0.06742842 -0.08128265 9.353005e-01
ar1 0.325691203 0.07161281 4.54794619 9.503037e-06
ar2 -0.031296776 0.07161202 -0.43703245 6.625714e-01
$volatility.results
coef s.e. t-stat p-val
vconst 0.11984626 0.23434247 0.2615453 0.6090605
arch1 0.09489383 0.07249894 1.3088996 0.1921576
arch2 0.07537243 0.07280093 1.0353224 0.3018412
arch3 0.04637822 0.07278500 0.6371947 0.5247691
arch4 -0.05000857 0.07245083 -0.6902416 0.4908890
$diagnostics
Chi^2 df p-val
Ljung-Box AR(3) 1.5962505 3 0.660240285
Ljung-Box ARCH(5) 2.3811096 5 0.794283916
Skewness 7.2210342 1 0.007205418
JB-test 8.5439327 2 0.013954317
R-squared 0.1004915 NA NA
[1] Searching path no. 1 out of 2
[1] Searching path no. 2 out of 2
[1] Searching path no. 1 out of 4
[1] Searching path no. 2 out of 4
[1] Searching path no. 3 out of 4
[1] Searching path no. 4 out of 4
$volatility.fit
3 4 5 6 7 8 9 10
NA NA NA NA 0.8966525 0.8966525 0.8966525 0.8966525
11 12 13 14 15 16 17 18
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
19 20 21 22 23 24 25 26
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
27 28 29 30 31 32 33 34
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
35 36 37 38 39 40 41 42
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
43 44 45 46 47 48 49 50
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
51 52 53 54 55 56 57 58
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
59 60 61 62 63 64 65 66
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
67 68 69 70 71 72 73 74
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
75 76 77 78 79 80 81 82
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
83 84 85 86 87 88 89 90
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
91 92 93 94 95 96 97 98
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
99 100 101 102 103 104 105 106
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
107 108 109 110 111 112 113 114
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
115 116 117 118 119 120 121 122
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
123 124 125 126 127 128 129 130
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
131 132 133 134 135 136 137 138
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
139 140 141 142 143 144 145 146
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
147 148 149 150 151 152 153 154
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
155 156 157 158 159 160 161 162
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
163 164 165 166 167 168 169 170
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
171 172 173 174 175 176 177 178
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
179 180 181 182 183 184 185 186
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
187 188 189 190 191 192 193 194
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
195 196 197 198 199 200
0.8966525 0.8966525 0.8966525 0.8966525 0.8966525 0.8966525
$resids.ustar
3 4 5 6 7
NA NA NA NA 7.203950e-02
8 9 10 11 12
2.489537e+00 4.574508e-01 2.618631e+00 2.583894e-01 -1.667977e-01
13 14 15 16 17
1.565153e+00 -8.971696e-01 1.531963e+00 1.016273e+00 7.387250e-01
18 19 20 21 22
2.521627e+00 5.295572e-01 -2.401892e+00 1.603755e+00 1.668740e+00
23 24 25 26 27
-3.713119e-02 -1.559356e+00 1.146490e+00 1.271897e+00 1.212298e+00
28 29 30 31 32
9.189696e-01 5.240507e-01 -5.964476e+00 -1.206716e+00 -4.945546e-01
33 34 35 36 37
7.434773e-01 -1.169336e+00 1.910275e+00 2.796316e+00 1.952625e+00
38 39 40 41 42
1.302778e+00 -2.955843e-01 3.418338e-02 7.150699e-01 -5.023290e+00
43 44 45 46 47
-1.302432e+00 -1.008821e+01 -5.329192e+00 1.993569e+00 -3.032695e+00
48 49 50 51 52
2.234792e+00 2.054462e+00 1.873898e-02 -2.522238e+00 -1.537742e+00
53 54 55 56 57
-4.407466e-01 -1.853529e-01 -6.841881e-01 1.477199e+00 1.685485e+00
58 59 60 61 62
-2.142592e+00 -3.610210e-01 -3.683752e+00 1.237760e+00 2.882548e+00
63 64 65 66 67
-1.143298e+00 3.004632e+00 9.889981e-01 6.411469e-01 7.707085e-01
68 69 70 71 72
1.255674e+00 -1.569767e+00 1.769198e+00 -3.742329e+00 -2.236047e+00
73 74 75 76 77
-6.855193e+00 -5.847843e-01 -7.815024e-01 4.261585e-01 -2.129539e+00
78 79 80 81 82
-8.397696e-01 1.601882e+00 1.292944e-01 -1.422393e+00 1.650761e+00
83 84 85 86 87
1.542163e+00 5.695217e-01 -8.264099e-01 2.414912e-01 1.938767e+00
88 89 90 91 92
-2.915614e-02 2.923467e+00 2.443083e+00 -5.357861e+00 1.297223e+00
93 94 95 96 97
8.505767e-01 -2.150679e+00 -1.335672e+00 -6.045765e-01 1.348908e+00
98 99 100 101 102
-2.552791e+00 9.869415e-01 2.486933e+00 1.845319e-01 9.640169e-01
103 104 105 106 107
1.291204e-01 2.574194e-01 2.281869e+00 -2.100847e+00 -1.590478e-01
108 109 110 111 112
-8.896502e-01 -2.565503e+00 4.044966e-01 1.143907e+00 1.581876e+00
113 114 115 116 117
-9.536337e+00 1.339265e+00 2.972739e-01 -8.176912e-01 2.531813e+00
118 119 120 121 122
5.172365e-02 -1.537601e+00 -3.294513e+00 1.259080e+00 -2.474365e+00
123 124 125 126 127
2.051751e+00 2.021249e-01 -2.839736e+00 -5.334771e-01 2.826166e+00
128 129 130 131 132
1.264374e+00 2.093190e+00 4.303689e-01 2.677468e+00 1.855123e+00
133 134 135 136 137
4.966404e-01 -1.616772e+00 2.280733e+00 2.368067e+00 2.523375e+00
138 139 140 141 142
7.597931e-01 2.293411e+00 3.527003e-02 2.839525e+00 1.584520e+00
143 144 145 146 147
7.867279e-01 9.686877e-01 -3.821193e-01 1.256717e+00 -2.068097e+00
148 149 150 151 152
-9.469476e-01 8.095578e-02 -7.910950e-01 1.282250e+00 -1.043049e+00
153 154 155 156 157
1.466502e+00 1.287682e+00 1.911761e+00 3.638426e+00 -1.901931e+00
158 159 160 161 162
-7.222560e-01 6.045702e-01 -4.086310e-01 4.760604e-04 -4.276122e-01
163 164 165 166 167
-2.190891e+00 -4.075835e+00 -5.757724e+00 2.876987e+00 2.160136e-01
168 169 170 171 172
1.533285e+00 -4.594697e+00 -1.191776e+00 -2.313763e-01 -3.857147e-01
173 174 175 176 177
1.530064e+00 1.672229e+00 -1.160413e+00 1.083914e+00 -9.746893e-01
178 179 180 181 182
-1.433220e+00 1.508714e+00 -2.254213e+00 9.021760e-01 -3.664180e-01
183 184 185 186 187
-1.812511e+00 -9.703214e-01 -3.872992e+00 1.147376e+00 2.020218e+00
188 189 190 191 192
2.604329e+00 6.888779e-01 1.656689e+00 5.905167e-01 1.834944e+00
193 194 195 196 197
2.819680e+00 2.102949e+00 -3.204745e+00 2.987850e-01 -7.248492e-01
198 199 200
-7.660975e-02 1.000218e+00 5.911352e-01
$resids.std
3 4 5 6 7 8
NA NA NA NA -0.552770591 1.851390086
9 10 11 12 13 14
0.670248627 -1.974832667 0.606750724 -0.490548649 -1.166193000 -0.340473921
15 16 17 18 19 20
-1.146999519 -0.886303759 -0.771460770 -1.881334439 0.694854134 0.160449202
21 22 23 24 25 26
-1.188920520 1.228185640 0.523406142 -0.244507338 0.945929973 1.007142147
27 28 29 30 31 32
0.977572512 0.844215761 0.692943647 0.027022924 -0.291653162 -0.416399859
33 34 35 36 37 38
-0.773296073 -0.297155488 -1.385838924 2.158310969 1.415496884 -1.022813352
39 40 41 42 43 44
-0.459956168 -0.542406116 0.762390012 -0.043262155 0.278023968 -0.003437752
45 46 47 48 49 50
-0.037126369 1.444773768 -0.117047048 1.629973809 -1.489437960 0.538233678
51 52 53 54 55 56
0.151079225 0.247164115 0.427754745 -0.486018587 -0.378732169 -1.116018813
57 58 59 60 61 62
-1.238512021 0.182660116 0.445150668 0.084524996 0.990097465 2.253404214
63 64 65 66 67 68
-0.301049453 -2.395241960 0.874298935 -0.734725363 -0.783896932 0.999005763
69 70 71 72 73 74
-0.243237863 -1.291451602 0.082085284 -0.174321275 -0.017310739 0.398031512
75 76 77 78 79 80
-0.360745284 0.659843424 -0.183856136 0.350387096 1.187807226 0.568823698
81 82 83 84 85 86
-0.261838233 1.217194673 1.152864333 0.708878535 0.352735458 -0.601645813
87 88 89 90 91 92
1.405722779 -0.525497406 2.299982905 1.808883468 -0.036597975 -1.019976202
93 94 95 96 97 98
-0.815834630 0.181923017 -0.273441366 -0.394111980 -1.046678587 -0.148788766
99 100 101 102 103 104
-0.873400380 -1.848980970 -0.584752836 0.863446337 -0.568774189 0.606456527
105 106 107 108 109 110
-1.668796621 -0.186512805 0.492453184 0.341756407 0.147846061 -0.652735268
111 112 113 114 115 116
-0.944709043 -1.175984674 -0.004530148 -1.041644307 -0.618662748 -0.354276518
117 118 119 120 121 122
1.890940791 -0.547184011 0.247181451 0.102685104 -1.000708352 -0.154739121
123 124 125 126 127 128
1.487420828 0.589919319 0.128902389 -0.408374556 -2.190765027 1.003360615
129 130 131 132 133 134
-1.518560823 0.661233992 2.033791614 -1.348144821 0.683511529 -0.237587774
135 136 137 138 139 140
-1.667848992 -1.742291664 -1.882979588 -0.779630350 -1.678455080 0.542700899
141 142 143 144 145 146
2.205447261 -1.177540711 0.790200946 0.865465191 0.440479404 -0.999526699
147 148 149 150 151 152
-0.189592060 -0.332104456 0.555240422 -0.359019183 1.012368868 -0.316523961
153 154 155 156 157 158
1.110065336 -1.015122476 -1.386868996 3.288333878 -0.206016867 0.371591566
159 160 161 162 163 164
0.721410577 -0.434679005 0.533341191 0.430573155 -0.178301848 0.069477707
165 166 167 168 169 170
-0.029965940 2.247146959 -0.594030179 -1.147758135 -0.053601376 0.293840036
171 172 173 174 175 176
0.474962184 -0.439688255 -1.145911298 1.230329976 -0.298484107 -0.916791687
177 178 179 180 181 182
-0.327529680 -0.260424560 1.133743389 0.172745075 0.837156728 -0.443951046
183 184 185 186 187 188
0.215436843 -0.328245768 0.076893978 -0.946348904 -1.464153134 1.960761056
189 190 191 192 193 194
0.752470876 -1.220807665 -0.716359184 -1.334611170 2.183672106 1.525989041
195 196 197 198 199 200
-0.107399001 0.619130342 -0.371110077 -0.513175786 -0.879217667 -0.716580725
$Elogzp
[1] -1.257664
$call
gets.vol(mymodel$resids, arch = 1:4)
$gum.volatility
reg keep coef s.e. t-stat p-val
arch1 2 0 0.09378478 0.07242963 1.2948400 1.969550e-01
arch2 3 0 0.07986714 0.07271610 1.0983419 2.734524e-01
arch3 4 0 0.04939158 0.07270680 0.6793255 4.977627e-01
arch4 5 0 -0.05818928 0.07237621 -0.8039835 4.224166e-01
vconst 1 1 -1.13793217 0.23579003 -4.8260402 2.863212e-06
$gum.diagnostics
stat p-val
Ljung-Box AR(1) 0.1118037 0.7380999
Ljung-Box ARCH(1) 0.3282977 0.5666632
$keep
[1] 1
$insigs.in.gum
[1] 2 3 4 5
$paths
$paths[[1]]
[1] 2 5 4 3
$paths[[2]]
[1] 3 5 4 2
$paths[[3]]
[1] 4 5 3 2
$paths[[4]]
[1] 5 4 3 2
$terminals
$terminals[[1]]
[1] 1 2 3 4 5
$terminals[[2]]
[1] 1
$terminals.results
info(sc) T k
spec1 (gum) 2.973647 194 5
spec2 2.865031 194 1
$specific.volatility
reg coef s.e. t-stat p-val
vconst 1 -0.1090869 0.1570381 -8.703308 0.4872731
$specific.diagnostics
stat p-val
Ljung-Box AR(1) 0.0170737 0.8960392
Ljung-Box ARCH(1) 0.4136325 0.5201315
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