Table 5.

ARMA model parameter estimations

Variable	Coefficient	Std. Error	t-Statistic	Prob.
AR(1)	0.637889	0.006320	100.9265	0.0000
AR(2)	− 0.231091	0.006209	− 37.21658	0.0000
AR(3)	0.246695	0.005654	43.63024	0.0000
AR(4)	− 0.638374	0.006419	− 99.44966	0.0000
AR(5)	0.983826	0.006121	160.7385	0.0000
MA(1)	− 0.629692	0.005422	− 116.1446	0.0000
MA(2)	0.238851	0.005928	40.29171	0.0000
MA(3)	− 0.241633	0.005693	− 42.44279	0.0000
MA(4)	0.628322	0.005260	119.4531	0.0000
MA(5)	− 0.986092	0.004266	− 231.1485	0.0000
R-squared	0.029068	Mean dependent var		2.952500
Adjusted R-squared	0.018007	S.D. dependent var		2.427470
S.E. of regression	2.405515	Akaike info criterion		4.605826
Sum squared resid	4571.336	Schwarz criterion		4.664384
Log likelihood	− 1832.330	Hannan–Quinn criter		4.628321
Durbin–Watson stat	1.931567
Inverted AR roots	1.00	.51 − .85i	.51 + .85i	− .69 − .72i
	− .69 + .72i
Inverted MA roots	1.00	.50 + .86i	.50 − .86i	− .69 + .72i
	− .69 − .72i