B- Prix de risque variable
Estimation des paramètres du modèle
BEKK-GARCH
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System: SYS1
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Estimation Method: ARCH Maximum Likelihood (BHHH)
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Covariance specification: BEKK
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Date: 04/20/08 Time: 19:44
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Sample: 1973M02 2007M11
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Included observations: 418
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Total system (balanced) observations 2926
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Presample covariance: backcast (parameter =0.7)
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Failure to improve Likelihood after 23 iterations
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Coefficient
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Std. Error
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z-Statistic
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Prob.
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C(1)
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0.016708
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0.002235
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7.475408
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0.0000
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C(2)
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-0.024711
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0.003439
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-7.186194
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0.0000
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C(3)
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-0.005385
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0.001547
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-3.481587
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0.0005
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C(4)
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0.021341
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0.001693
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12.60617
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0.0000
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C(5)
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-0.032200
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0.002221
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-14.49897
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0.0000
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C(6)
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-0.004306
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0.001201
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-3.585209
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0.0003
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C(7)
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0.016739
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0.004321
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3.873913
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0.0001
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C(8)
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-0.023096
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0.005158
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-4.477758
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0.0000
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C(9)
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-0.006045
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0.001377
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-4.391571
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0.0000
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C(10)
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0.022033
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0.001545
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14.25872
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0.0000
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C(11)
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-0.031478
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0.001755
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-17.93212
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0.0000
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C(12)
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-0.004740
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0.000867
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-5.468590
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0.0000
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C(13)
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0.014109
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0.003693
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3.820941
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0.0001
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C(14)
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-0.020239
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0.004690
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-4.314996
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0.0000
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C(15)
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-0.003213
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0.000781
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-4.112618
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0.0000
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C(16)
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0.003987
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0.008057
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0.494860
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0.6207
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C(17)
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0.000299
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0.007553
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0.039621
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0.9684
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C(18)
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0.001283
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0.005623
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0.228133
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0.8195
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C(19)
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0.042399
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0.325022
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0.130451
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0.8962
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C(20)
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-0.060518
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0.400959
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-0.150933
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0.8800
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C(21)
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0.044261
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0.332296
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0.133196
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0.8940
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Variance Equation Coefficients
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C(22)
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0.003697
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0.001000
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3.696788
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0.0002
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C(23)
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0.004976
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0.000984
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5.059084
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0.0000
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C(24)
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0.022125
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0.009984
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2.216043
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0.0267
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C(25)
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0.008838
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0.002213
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3.993863
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0.0001
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C(26)
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0.019317
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0.008531
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2.264282
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0.0236
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C(27)
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0.002767
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0.007776
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0.355839
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0.7220
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C(28)
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-0.029758
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0.752044
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-0.039570
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0.9684
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C(29)
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0.000891
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0.001706
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0.522585
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0.6013
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C(30)
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-0.000528
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0.027849
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-0.018957
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0.9849
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C(31)
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0.001379
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0.006067
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0.227209
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0.8203
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C(32)
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-0.000774
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0.024594
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-0.031457
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0.9749
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C(33)
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0.005262
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0.019218
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0.273829
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0.7842
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C(34)
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0.107981
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2.147716
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0.050277
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0.9599
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C(35)
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-0.001856
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0.092870
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-0.019990
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0.9841
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C(36)
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9.87E-06
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0.028884
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0.000342
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0.9997
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C(37)
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-0.002439
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0.043296
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-0.056327
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0.9551
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C(38)
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0.007761
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0.303303
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0.025589
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0.9796
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C(39)
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-0.059455
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10.83563
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-0.005487
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0.9956
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C(40)
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-0.000499
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0.010245
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-0.048727
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0.9611
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C(41)
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-5.15E-05
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0.048306
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-0.001066
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0.9991
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C(42)
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-0.003400
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0.347586
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-0.009781
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0.9922
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C(43)
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-0.123692
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9.393591
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-0.013168
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0.9895
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C(44)
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-0.001707
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0.020464
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-0.083397
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0.9335
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C(45)
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-0.005565
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0.309051
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-0.018008
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0.9856
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C(46)
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-0.040225
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8.557686
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-0.004700
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0.9962
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C(47)
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0.002209
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1.356085
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0.001629
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0.9987
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C(48)
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0.229787
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194.3226
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0.001183
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0.9991
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C(49)
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0.081070
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565.0702
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0.000143
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0.9999
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C(50)
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0.269497
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0.025244
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10.67568
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0.0000
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C(51)
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0.335319
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0.020810
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16.11346
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0.0000
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C(52)
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0.151854
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0.004729
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32.11416
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0.0000
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C(53)
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0.389286
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0.020218
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19.25468
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0.0000
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C(54)
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0.150499
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0.004825
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31.18895
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0.0000
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C(55)
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0.134955
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0.067778
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1.991140
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0.0465
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C(56)
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0.189706
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1.578716
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0.120165
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0.9044
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C(57)
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0.951304
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0.007019
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135.5292
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0.0000
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C(58)
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0.927053
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0.006378
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145.3537
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0.0000
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C(59)
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0.755549
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0.012755
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59.23744
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0.0000
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C(60)
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0.877146
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0.008930
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98.22338
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0.0000
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C(61)
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0.757903
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0.012734
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59.51992
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0.0000
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C(62)
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0.932814
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0.054357
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17.16098
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0.0000
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C(63)
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0.588171
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1.297752
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0.453223
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0.6504
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Log likelihood
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5934.298
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Schwarz criterion
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-27.48412
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Avg. log likelihood
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2.028126
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Hannan-Quinn criter.
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-27.85189
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Akaike info criterion
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-28.09233
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Equation: FRANCE1=C(1)+C(2)*SF+C(3)*TF
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R-squared
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0.240715
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Mean dependent var
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0.003855
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Adjusted R-squared
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0.237056
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S.D. dependent var
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0.026746
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S.E. of regression
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0.023362
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Sum squared resid
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0.226492
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Prob(F-statistic)
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1.880962
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Equation: GB1=C(4)+C(5)*SG+C(6)*TG
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R-squared
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0.272368
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Mean dependent var
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0.004220
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Adjusted R-squared
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0.268862
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S.D. dependent var
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0.031179
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S.E. of regression
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0.026660
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Sum squared resid
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0.294965
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Prob(F-statistic)
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1.923241
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Equation: H_KONG1=C(7)+C(8)*SH+C(9)*TH
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R-squared
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0.132255
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Mean dependent var
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0.004722
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Adjusted R-squared
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0.128073
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S.D. dependent var
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0.035060
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S.E. of regression
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0.032738
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Sum squared resid
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0.444790
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Prob(F-statistic)
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1.978393
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Equation: JAPAN1=C(10)+C(11)*SJ+C(12)*TJ
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R-squared
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0.241878
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Mean dependent var
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0.004436
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Adjusted R-squared
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0.238225
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S.D. dependent var
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0.032453
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S.E. of regression
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0.028325
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Sum squared resid
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0.332951
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Prob(F-statistic)
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1.975270
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Equation: SINGAPOUR1=C(13)+C(14)*SSIG+C(15)*TSIG
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R-squared
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0.128360
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Mean dependent var
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0.004135
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Adjusted R-squared
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0.124160
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S.D. dependent var
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0.030696
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S.E. of regression
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0.028727
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Sum squared resid
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0.342473
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Prob(F-statistic)
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1.962144
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Equation: USA1=C(16)+C(17)*SU+C(18)*TU
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R-squared
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-0.006944
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Mean dependent var
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0.004502
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Adjusted R-squared
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-0.011796
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S.D. dependent var
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0.032891
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S.E. of regression
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0.033085
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Sum squared resid
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0.454264
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Prob(F-statistic)
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1.914170
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Equation: MONDE1=C(19)+C(20)*SM+C(21)*TM
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R-squared
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0.125155
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Mean dependent var
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0.005980
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Adjusted R-squared
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0.120939
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S.D. dependent var
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0.045706
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S.E. of regression
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0.042853
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Sum squared resid
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0.762111
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Prob(F-statistic)
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1.818637
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Covariance specification: BEKK
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GARCH = M + A1*RESID(-1)*RESID(-1)'*A1 + B1*GARCH(-1)*B1
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M is a full rank matrix
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A1 is diagonal matrix
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B1 is diagonal matrix
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Tranformed Variance Coefficients
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Coefficient
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Std. Error
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z-Statistic
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Prob.
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M(1,1)
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1.37E-05
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7.39E-06
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1.848394
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0.0645
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M(1,2)
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1.84E-05
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7.52E-06
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2.446508
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0.0144
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M(1,3)
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8.18E-05
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4.77E-05
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1.714329
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0.0865
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M(1,4)
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3.27E-05
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1.29E-05
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2.526041
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0.0115
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M(1,5)
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7.14E-05
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4.07E-05
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1.755190
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0.0792
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M(1,6)
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1.02E-05
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2.68E-05
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0.381806
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0.7026
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M(1,7)
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-0.000110
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0.002791
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-0.039423
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0.9686
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M(2,2)
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2.56E-05
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9.25E-06
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2.763640
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0.0057
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M(2,3)
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0.000110
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5.38E-05
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2.038768
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0.0415
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M(2,4)
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4.52E-05
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1.51E-05
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2.988112
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0.0028
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M(2,5)
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9.54E-05
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4.60E-05
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2.074650
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0.0380
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M(2,6)
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1.85E-05
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2.61E-05
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0.707142
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0.4795
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M(2,7)
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-5.18E-05
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0.002833
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-0.018291
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0.9854
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M(3,3)
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0.000493
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0.000331
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1.491269
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0.1359
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M(3,4)
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0.000195
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9.45E-05
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2.062421
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0.0392
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M(3,5)
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0.000432
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0.000286
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1.514255
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0.1300
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M(3,6)
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4.40E-05
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0.000191
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0.230534
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0.8177
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M(3,7)
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-0.000605
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0.008361
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-0.072369
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0.9423
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M(4,4)
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8.03E-05
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2.75E-05
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2.920092
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0.0035
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M(4,5)
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0.000170
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8.09E-05
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2.097151
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0.0360
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M(4,6)
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3.35E-05
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4.43E-05
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0.756082
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0.4496
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M(4,7)
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-5.30E-05
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0.003561
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-0.014876
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0.9881
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M(5,5)
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0.000383
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0.000248
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1.543795
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0.1226
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M(5,6)
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4.01E-05
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0.000164
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0.245334
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0.8062
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M(5,7)
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-0.000438
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0.007289
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-0.060138
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0.9520
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M(6,6)
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0.000143
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0.000165
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0.864227
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0.3875
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M(6,7)
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0.001176
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0.008938
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0.131612
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0.8953
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M(7,7)
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0.092372
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0.244655
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0.377561
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0.7058
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A1(1,1)
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0.269497
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0.025244
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10.67568
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0.0000
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A1(2,2)
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0.335319
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0.020810
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16.11346
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0.0000
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A1(3,3)
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0.151854
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0.004729
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32.11416
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0.0000
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A1(4,4)
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0.389286
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0.020218
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19.25468
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0.0000
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A1(5,5)
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0.150499
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0.004825
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31.18895
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0.0000
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A1(6,6)
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0.134955
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0.067778
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1.991140
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0.0465
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A1(7,7)
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0.189706
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1.578716
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0.120165
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0.9044
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B1(1,1)
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0.951304
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0.007019
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135.5292
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0.0000
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B1(2,2)
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0.927053
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0.006378
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145.3537
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0.0000
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B1(3,3)
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0.755549
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0.012755
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59.23744
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0.0000
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B1(4,4)
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0.877146
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0.008930
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98.22338
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0.0000
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B1(5,5)
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0.757903
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0.012734
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59.51992
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0.0000
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B1(6,6)
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0.932814
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0.054357
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17.16098
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0.0000
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B1(7,7)
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0.588171
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1.297752
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0.453223
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0.6504
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Test de wald Variante 1
Wald Test:
System: SYS4
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Test Statistic
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Value
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Chi-square
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3.74541
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6
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0.7519
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Variante 2
Wald Test:
Value
System: SYS4
Test Statistic
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Chi-square
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8.94154
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6
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0.7519
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