Annexe 5 : Résultats des modèles GARCH
(1,1) pour tous les indices de volatilité
ARCH family regression
Sample: 1981 - 2010, but with gaps Number of obs =
540
Distribution: Gaussian Wald chi2(2) = 9388.05
Log likelihood = -2231.773 Prob > chi2 =
0.0000
|
|
TDE | Coef.
|
OPG
Std. Err.
|
z
|
P>|z|
|
[95% Conf.
|
Interval]
|
|
TDE
|
|
|
|
|
|
|
|
|
annee
|
| -.1358252
|
.0335987
|
-4.04
|
0.000
|
-.2016774
|
-.069973
|
|
TDE
|
|
|
|
|
|
|
|
|
L1.
|
| .8625697
|
.0109956
|
78.45
|
0.000
|
.8410188
|
.8841206
|
|
_cons
|
| 284.6143
|
67.80582
|
4.20
|
0.000
|
151.7173
|
417.5112
|
|
ARCH
|
arch
|
|
|
|
|
|
|
|
|
|
L1. garch
|
|
| 1.14178
|
.0968774
|
11.79
|
0.000
|
.951904
|
1.331656
|
|
L1.
|
| .3763153
|
.0315607
|
11.92
|
0.000
|
.3144576
|
.4381731
|
|
_cons
|
| 5.921532
|
1.629067
|
3.63
|
0.000
|
2.72862
|
9.114445
|
|
ARCH family regression
|
|
|
|
|
|
Sample: 1981 - 2010, but with gaps
|
|
Number of obs =
|
540
|
|
Distribution: Gaussian
|
|
|
Wald chi2(2) =
|
96.66
|
|
Log likelihood = -2055.258
|
|
|
Prob >
|
chi2 =
|
0.0000
|
|
|
|
OPG
|
|
|
|
|
|
INF | Coef.
|
Std. Err.
|
z
|
P>|z|
|
[95% Conf.
|
Interval]
|
|
INF
|
|
|
|
|
|
|
|
|
annee
|
| -.2280001
|
.0321262
|
-7.10
|
0.000
|
-.2909663
|
-.1650339
|
|
INF
|
|
|
|
|
|
|
|
|
L1.
|
| .2336108
|
.037691
|
6.20
|
0.000
|
.1597379
|
.3074838
|
|
_cons
|
| 460.6296
|
64.08571
|
7.19
|
0.000
|
335.0239
|
586.2352
|
|
ARCH
|
arch
|
|
|
|
|
|
|
|
|
|
L1. garch
|
|
| .5608286
|
.0687763
|
8.15
|
0.000
|
.4260295
|
.6956277
|
|
L1.
|
| .5848858
|
.0295384
|
19.80
|
0.000
|
.5269916
|
.64278
|
|
_cons
|
| 3.764139
|
1.477751
|
2.55
|
0.011
|
.8677997
|
6.660478
|
|
ARCH family regression
|
|
|
|
|
Sample: 1981 - 2010, but with gaps
|
Number of obs
|
=
|
540
|
|
Distribution: Gaussian
|
Wald chi2(2)
|
=
|
114.21
|
|
Log likelihood = -1482.27
|
Prob > chi2
|
=
|
0.0000
|
|
|
CPIB | Coef.
|
OPG
Std. Err.
|
z
|
P>|z|
|
[95% Conf.
|
Interval]
|
|
CPIB
|
|
|
|
|
|
|
|
|
annee
|
| .0491861
|
.0125781
|
3.91
|
0.000
|
.0245334
|
.0738388
|
|
CPIB
|
|
|
|
|
|
|
|
|
L1.
|
| .3394635
|
.0400378
|
8.48
|
0.000
|
.2609909
|
.4179362
|
|
_cons
|
| -97.74281
|
25.13419
|
-3.89
|
0.000
|
-147.0049
|
-48.48071
|
|
ARCH
|
arch
|
|
|
|
|
|
|
|
|
|
L1. garch
|
|
| .3195382
|
.0340149
|
9.39
|
0.000
|
.2528703
|
.3862061
|
|
L1.
|
| .7007803
|
.0190067
|
36.87
|
0.000
|
.6635278
|
.7380328
|
|
_cons
|
| .1409633
|
.1598976
|
0.88
|
0.378
|
-.1724303
|
.4543569
|
|
ARCH family regression
|
|
|
|
|
|
Sample: 1981 - 2010, but with gaps
|
|
Number of obs =
|
270
|
|
Distribution: Gaussian
|
|
|
Wald chi2(2) =
|
1872.27
|
|
Log likelihood = -1138.185
|
|
|
Prob >
|
chi2 =
|
0.0000
|
|
|
|
OPG
|
|
|
|
|
|
TCER | Coef.
|
Std. Err.
|
z
|
P>|z|
|
[95% Conf.
|
Interval]
|
|
TCER
|
|
|
|
|
|
|
|
|
annee
|
| .471836
|
.0663061
|
7.12
|
0.000
|
.3418783
|
.6017936
|
|
TCER
|
|
|
|
|
|
|
|
|
L1.
|
| .7042655
|
.0169368
|
41.58
|
0.000
|
.67107
|
.7374611
|
|
_cons
|
| -915.8871
|
133.3239
|
-6.87
|
0.000
|
-1177.197
|
-654.5771
|
|
ARCH
|
arch
|
|
|
|
|
|
|
|
|
|
L1. garch
|
|
| 1.391145
|
.1202265
|
11.57
|
0.000
|
1.155505
|
1.626784
|
|
L1.
|
| .0506607
|
.0193407
|
2.62
|
0.009
|
.0127535
|
.0885679
|
|
_cons
|
| 18.37266
|
3.809408
|
4.82
|
0.000
|
10.90636
|
25.83896
|
Annexe 6 : résultats des tests
d'autocorrélation sur les modèles
. xtserial CK ASP lnTG lnOC FDI PFI STI CPIB VTCER VPIB
VCTDE VINF
Wooldridge test for autocorrelation in panel data H0: no
first-order autocorrelation
F( 1, 17) = 28.947
Prob > F = 0.0000
. xtserial H CPIB lnTG lnOC FERT lnSTI VINF VCTDE VPIB
VTCER
Wooldridge test for autocorrelation in panel data H0: no
first-order autocorrelation
F( 1, 16) = 300.599
Prob > F = 0.0000
| 
