Table 2.

Coefficients of the regression model and errors fitted to an ARMA structure

Coefficients of the model before 2002	Period January 1990–December 2001				Coefficients of the model after 2002	Period January 2002–December 2014
	Value Std	Error	t-value	p-value		Value Std	Error	t-value	p-value
Intercept	4.04	0.83	4.87	0.00	Intercept	21.50	3.80	5.66	0.00
δ	0.08	0.01	7.66	0.00	δ′	−0.004	0.02	−0.22	0.83
β 12	−5.79	0.57	−10.10	0.00	β 12 ′	−16.60	1.05	−15.85	0.00
α 12	−3.20	0.57	−5.60	0.00	α 12 ′	−12.96	1.04	−12.42	0.00
β 6	−0.36	0.54	−0.68	0.50	β 6 ′	8.55	0.98	8.69	0.00
α 6	−2.89	0.54	−5.36	0.00	α 6 ′	−4.96	0.98	−5.05	0.00
α 4	1.08	0.49	2.21	0.03	α 4 ′	6.90	0.89	7.72	0.03
α 3	−1.58	0.44	−3.62	0.00	α 3 ′	−4.53	0.80	−5.69	0.00
ϵt	Zt + 0.221Zt − 1
AIC: 1913.46 BIC: 1983.83 logLik −937.73
Standardized residuals: Min: −3.47 Q1: −0.61 Med: −0.12 Q3: 0.47 Max: 4.60