Dependent Variable: R(-1) | ||||||||||||
Method: ML - ARCH (Marquardt) | ||||||||||||
Date: 05/09/10 | ||||||||||||
Sample(adjusted): 2 732 | ||||||||||||
Included observations: 731 after adjusting endpoints | ||||||||||||
Convergence achieved after 16 iterations | ||||||||||||
Variance backcast: ON | ||||||||||||
| Coefficient | Std. Error | z-Statistic | Prob. | ||||||||
D1(-1) | 0.004340 | 0.001114 | 3.896179 | 0.0001 | ||||||||
D2(-1) | 0.002606 | 0.001383 | 1.884742 | 0.0595 | ||||||||
D3(-1) | -0.001017 | 0.001223 | -0.831196 | 0.4059 | ||||||||
D4(-1) | 0.003283 | 0.001444 | 2.273284 | 0.0230 | ||||||||
D5(-1) | 0.000394 | 0.001411 | 0.278870 | 0.7803 | ||||||||
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| |||||||||||
C | 1.91E-06 | 1.02E-06 | 1.866072 | 0.0620 | ||||||||
ARCH(1) | 0.066765 | 0.010894 | 6.128754 | 0.0000 | ||||||||
GARCH(1) | 0.935913 | 0.009603 | 97.46047 | 0.0000 | ||||||||
R-squared | 0.004867 |
| 0.000876 | |||||||||
Adjusted R-squared | -0.004767 |
| 0.021685 | |||||||||
S.E. of regression | 0.021737 |
| -5.049252 | |||||||||
Sum squared resid | 0.341602 |
| -4.998971 | |||||||||
Log likelihood | 1853.501 |
| 1.970051 |
我在做周日历效应的论文,这个表中出现z统计量,不太明白,请朋友们帮我看看!z统计量怎么读啊