Table 2.
Results from ARMA (1, 1)-GARCH (1, 1) model
| Parameter | Estimate | Standard error | P value |
|---|---|---|---|
| AR (1) | 0.8986 | 0.01562 | 0.000 |
| MA (1) | −0.8437 | 0.02327 | 0.000 |
| 6.405 × 10−8 | 0.918 | 0.3587 | |
| 0.1204 | 0.1797 | 0.000 | |
| 0.7912 | 0.03566 | 0.000 |
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