Garch

Dependent Variable: RETURN_AORD

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 09/23/19 Time: 09:24
Sample: 1 761
Included observations: 761
Convergence achieved after 11 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

RETURN_NASDAC -0.010200 0.019126 -0.533325 0.5938

Variance Equation

C 0.021511 0.007352 2.925818 0.0034

RESID(-1)^2 0.105748 0.014618 7.234322 0.0000
GARCH(-1) 0.843497 0.025805 32.68696 0.0000

R-squared -0.002455 Mean dependent var 0.027871

Adjusted R-squared -0.002455 S.D. dependent var 0.632433
S.E. of regression 0.633209 Akaike info criterion 1.851672
Sum squared resid 304.7250 Schwarz criterion 1.876033
Log likelihood -700.5614 Hannan-Quinn criter. 1.861053
Durbin-Watson stat 1.944835

INTREPRETATION :

The probability value obtained is less than the normal value that is less than 5% .so the independent
variable helps to predict the volatility of the dependent variables.
 VAR AND VECM

VAR Lag Order Selection Criteria

Endogenous variables: RETURN_AORD
RETURN_NASDAC
Exogenous variables: C
Date: 09/23/19 Time: 09:41
Sample: 1 761
Included observations: 756

Lag LogL LR FPE AIC SC HQ

0 -1843.663 NA 0.452464 4.882707 4.894950* 4.887422

1 -1840.862 5.579719 0.453901 4.885879 4.922609 4.900026
2 -1836.597 8.473156 0.453584 4.885178 4.946396 4.908758
3 -1830.923 11.24329 0.451579 4.880749 4.966453 4.913760
4 -1810.603 40.15677 0.432498 4.837574 4.947765 4.880017
5 -1796.686 27.42863* 0.421299* 4.811339* 4.946017 4.863214*

* indicates lag order selected by the criterion

LR: sequential modified LR test statistic (each test at 5% level)
FPE: Final prediction error
AIC: Akaike information criterion
SC: Schwarz information criterion
HQ: Hannan-Quinn information criterion

INTREPRETATION:
VECM

LONG RUN

Dependent Variable: RETURN_AORD

Method: Least Squares
Date: 09/23/19 Time: 10:01
Sample (adjusted): 3 761
Included observations: 759 after adjustments
RETURN_AORD = C(1)*RETURN_AORD(-1) + C(2)*RETURN_NASDAC(
-1) + C(3)*RETURN_AORD(-2) + C(4)*RETURN_NASDAC(-2) + C(5)

Coefficient Std. Error t-Statistic Prob.

C(1) 0.026795 0.036287 0.738428 0.4605

C(2) 0.014783 0.021691 0.681523 0.4958
C(3) -0.077637 0.036334 -2.136755 0.0329
C(4) 0.019903 0.021694 0.917454 0.3592
C(5) 0.026548 0.023083 1.150126 0.2505

R-squared 0.008488 Mean dependent var 0.027335

Adjusted R-squared 0.003228 S.D. dependent var 0.633069
S.E. of regression 0.632047 Akaike info criterion 1.926859
Sum squared resid 301.2103 Schwarz criterion 1.957373
Log likelihood -726.2430 Hannan-Quinn criter. 1.938610
F-statistic 1.613709 Durbin-Watson stat 2.002859
Prob(F-statistic) 0.168876

interpretation :

obtained probability value is abobe5% so there is a nessccity of doing the short run test.
Short run

Wald Test:
Equation: Untitled

Test Statistic Value df Probability

t-statistic 1.729098 754 0.0842

F-statistic 2.989781 (1, 754) 0.0842
Chi-square 2.989781 1 0.0838

Null Hypothesis: C(1)+C(2)+C(4)+C(5)=0

Null Hypothesis Summary:

Normalized Restriction (= 0) Value Std. Err.

C(1) + C(2) + C(4) + C(5) 0.088029 0.050911

Restrictions are linear in coefficients.

INTERPRETATION:

the above probability value is more than 0.05 .