bkgr رئيسى

.
.
:

) (

) (

2004 :2000

2004 :2000
900
800
700
600
500
C1
400
300
200
100
0
250
200
150
100
50
Index
20
C7
10
0
60
70
50
40
30
20
Index
10

Autocorrelation Function for C7
19
14
Lag Corr
Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag Corr
Lag Corr
LBQ
LBQ
LBQ
17.01
17.01
15 0.01 0.05
16 0.00 0.01
15.33
15.44
8 0.19 1.49
9 -0.03 -0.26
8.86
10.14
1 0.33 2.92
2 0.13 1.00
17.61
19.82
17 -0.08 -0.57
18 -0.15 -1.07
16.36
16.81
10 -0.10 -0.75
11 -0.07 -0.52
10.40
10.40
3 0.06 0.44
4 -0.00 -0.03
20.31
19 -0.07 -0.49
16.93
16.93
12 -0.04 -0.26
13 -0.00 -0.02
10.53
11.51
5 0.04 0.30
6 0.11 0.83
17.01
14 -0.03 -0.21
12.02
7 0.08 0.59
C9
-1
-2
70
60
50
40
30
20
Index
10

ACF PACF
-:
ARIMA(0,1,1) (1-B) Zt = (1- B) et

12
17
Lag Corr
Lag Corr
Lag Corr
LBQ
LBQ
LBQ
15.96
16.96
15 -0.07 -0.48
16 0.10 0.74
13.68
14.24
8 0.14 1.10
9 -0.08 -0.60
8.27
9.61
1 -0.33 -2.82
2 -0.13 -1.03
17.26
21.36
17 0.06 0.40
18 -0.20 -1.46
14.51
14.64
10 -0.06 -0.41
11 -0.04 -0.28
9.68
10.80
3 0.03 0.23
4 -0.12 -0.91
14.78
15.38
0.29
0.59
12 0.04
13 0.08
11.02
11.22
5 0.05 0.40
6 0.05 0.38
15.56
14 -0.04 -0.32
11.88
7 -0.09 -0.67
Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0

Partial Autocorrelation Function for C9
17
12
Partial Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag PAC
Lag PAC
Lag PAC
-0.94
0.10
15 -0.11
16 0.01
0.49
-0.32
8 0.06
9 -0.04
-2.82
-2.29
1 -0.33
2 -0.26
1.10
-1.29
17 0.13
18 -0.15
-0.57
-1.34
10 -0.07
11 -0.15
-1.14
-2.00
3 -0.13
4 -0.23
-0.64
0.07
12 -0.07
13 0.01
-1.10
-0.50
5 -0.13
6 -0.06
-0.47
14 -0.05
-1.20
7 -0.14

)ARMA(0,1,1
)Zt = (1- B) et (B-1

:
:
AR
: -:
=1>0.7718

t < 2

)ARMA(0,1
Autocorrelation Function for RESI1
17
12
Lag Corr
Lag Corr
Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag Corr
LBQ
LBQ
LBQ
8.21
8.74
15 -0.01 -0.04
16 0.07 0.58
5.74
6.00
8 0.06 0.48
9 -0.06 -0.45
2.67
2.86
1 0.18 1.60
2 -0.05 -0.41
8.74
11.44
17 -0.00 -0.04
18 -0.16 -1.29
6.68
6.90
10 -0.09 -0.71
11 -0.05 -0.40
3.33
5.26
3 -0.08 -0.63
4 -0.15 -1.28
7.27
8.20
0.50
0.80
12 0.06
13 0.10
5.30
5.30
5 -0.02 -0.17
6 -0.01 -0.05
8.21
0.04
14 0.01
5.43
7 -0.04 -0.32
)ARMA(0,1
Partial Autocorrelation Function for RESI1
17
12
Lag PAC
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag PAC
Lag PAC
0.10
0.80
0.01
0.09
15
16
0.50
-0.78
8 0.06
9 -0.09
1.60
-0.75
1 0.18
2 -0.09
-0.17
-1.49
17 -0.02
18 -0.17
-0.57
-0.36
10 -0.07
11 -0.04
-0.45
-1.21
3 -0.05
4 -0.14
0.74
0.36
0.09
0.04
12
13
0.24
-0.28
5 0.03
6 -0.03
-0.37
14 -0.04
-0.44
7 -0.05
) ( ) (

% 95

)MA(1

Autocorrelation

1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag Corr
12
Lag Corr
17
LBQ
Lag Corr
LBQ
LBQ
1 -0.32 -2.74
2 -0.13 -1.02
7.81
9.12
8 0.09
9 0.02
0.65
0.18
12.19
12.24
15 -0.02 -0.13
16 0.08 0.61
14.03
14.69
3 0.04 0.33
4 -0.12 -0.89
9.26
10.33
10 -0.03 -0.23
11 -0.06 -0.46
12.32
12.66
17 0.06 0.44
18 -0.22 -1.62
15.05
19.95
5 0.07 0.51
6 0.01 0.10
10.69
10.71
12 0.05
13 0.08
0.36
0.59
12.87
13.45
7 -0.10 -0.77
11.57
14 -0.08 -0.57
14.00


1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
12
17
Lag PAC
Lag PAC
Lag PAC
1 -0.32
2 -0.26
-2.74
-2.21
8 -0.04
9 -0.00
-0.35
-0.01
15 -0.04
16 0.08
-0.31
0.70
3 -0.11
4 -0.21
-0.94
-1.77
10 -0.01
11 -0.11
-0.13
-0.95
17 0.16
18 -0.17
1.42
-1.43
5 -0.08
6 -0.06
-0.66
-0.50
12 -0.02
13 0.08
-0.15
0.68
7 -0.15
-1.28
14 -0.03
-0.22
Ljung
Qk
Lag
Chi-sqare
DF
P-Value
2
12
7.3
10
700.
18.307
24
12.5
22
0.947
33.924
36
17.9
34
989.
43.772
48
31.1
46
0.955
55.758
Qk > 2
,

prob > 0.05
) (

RESI1
0
-1
1
-1
-2
FITS1
-:
:
AR
: -:
=1>0.2449

t < 2

)ARMA(0,2
Autocorrelation Function for RESI1
17
12
Lag Corr
Lag Corr
Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag Corr
LBQ
LBQ
LBQ
3.74
4.04
15 -0.03 -0.25
16 0.06 0.46
2.17
2.52
8 0.10 0.87
9 -0.06 -0.54
0.02
0.15
1 0.02 0.14
2 0.04 0.35
4.05
7.26
17 0.01 0.08
18 -0.18 -1.47
2.79
2.96
10 -0.06 -0.47
11 -0.04 -0.36
0.19
0.89
3 0.02 0.18
4 -0.09 -0.80
3.10
3.64
0.33
0.63
12 0.04
13 0.08
0.98
1.10
5 0.03 0.28
6 0.04 0.31
3.65
14 -0.01 -0.10
1.27
7 -0.05 -0.39
)ARMA(0,2
Partial Autocorrelation Function for RESI1
17
12
Lag PAC
Lag PAC
-0.26
0.53
15 -0.03
16 0.06
0.79
-0.52
8 0.09
9 -0.06
0.14
0.35
0.02
0.04
0.27
-1.76
17 0.03
18 -0.20
-0.48
-0.43
10 -0.05
11 -0.05
0.16
-0.83
3 0.02
4 -0.10
12
13
0.61
0.59
0.07
0.07
-0.31
14 -0.04
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag PAC
1
2
5
6
0.30
0.38
0.03
0.04
-0.41
7 -0.05
) ( ) (

% 95

)MA(1

17
12
Lag Corr
Lag Corr
Autocorrelation
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Lag Corr
LBQ
LBQ
LBQ
22.36
22.51
15 -0.01 -0.07
16 0.04 0.28
21.44
21.44
8 0.11 0.78
9 -0.00 -0.03
17.40
17.42
1 -0.48 -4.09
2 0.02 0.13
23.32
28.28
17 0.09 0.62
18 -0.22 -1.52
21.45
21.63
10 -0.01 -0.08
11 -0.04 -0.31
17.67
18.60
3 0.06 0.40
4 -0.11 -0.76
21.72
22.05
0.22
0.41
12 0.03
13 0.06
18.85
18.91
5 0.06 0.39
6 0.03 0.20
22.34
14 -0.06 -0.38
20.36
7 -0.13 -0.92

17
12
Lag PAC
Lag PAC
Lag PAC
-0.22
0.28
15 -0.03
16 0.03
-0.43
0.10
8 -0.05
9 0.01
-4.09
-2.31
1 -0.48
2 -0.27
1.73
-1.13
17 0.20
18 -0.13
0.22
-0.68
10 0.03
11 -0.08
-0.72
-1.28
3 -0.08
4 -0.15
-0.31
0.72
12 -0.04
13 0.08
-0.73
-0.02
5 -0.09
6 -0.00
14
-1.27
7 -0.15
0.15
0.02
1.0
0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
-0.8
-1.0
Ljung
Qk
48
32.5
45
36
18.6
33
24
9.5
21
12
3.1
9
Lag
Chi-sqare
DF
918.
55.758
979.
43.772
985.
32.671
P-Value
2
960.
16.919
Qk > 2
,

prob > 0.05
) (

RESI1
-1
-1
FITS1
-:

3.24452
3.28444
3.32460
3.36500
3.40565
0.288389
9.39724
0.331331
9.29634
0.378023
9.19217
0.428672
9.08454
0.483511
8.97321

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Autocorrelation Function for RESI1

Autocorrelation Function for C12

Partial Autocorrelation Function for C12

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