Tug As Stat Fin Arima

Arima (1,1,0)
Estimates at Each Iteration

Iteration SSE Parameters
0 1223,48 0,100 0,121
1 1165,73 -0,050 0,036
2 1164,59 -0,080 0,037
3 1164,59 -0,081 0,037
4 1164,59 -0,081 0,037
Relative change in each estimate less than 0,001
Final Estimates of Parameters

Type Coef SE Coef T-Value P-Value
AR 1 -0,0812 0,0199 -4,09 0,000
Constant 0,0367 0,0136 2,71 0,007
Residual Sums of Squares

DF SS MS
2515 1164,59 0,463056
Back forecasts excluded
Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

Lag 12 24 36 48
Chi-Square 50,25 77,03 101,51 126,41
DF 10 22 34 46
P-Value 0,000 0,000 0,000 0,000
Forecasts from period 2518

95% Limits
Period Forecast Lower Upper Actual
2519 111,797 110,463 113,131
2520 111,827 110,015 113,638
2521 111,861 109,669 114,053
2522 111,895 109,379 114,410
2523 111,929 109,127 114,731
2524 111,963 108,901 115,024
2525 111,997 108,696 115,298
2526 112,031 108,507 115,555
2527 112,065 108,331 115,798
2528 112,099 108,167 116,031
2529 112,133 108,012 116,254
2530 112,167 107,865 116,468
2531 112,201 107,725 116,676
2532 112,234 107,592 116,877
2533 112,268 107,465 117,072
2534 112,302 107,343 117,262
2535 112,336 107,226 117,447
2536 112,370 107,113 117,628
2537 112,404 107,004 117,804
2538 112,438 106,899 117,978
2539 112,472 106,797 118,147
2540 112,506 106,699 118,314
2541 112,540 106,603 118,477
2542 112,574 106,510 118,638
2543 112,608 106,420 118,796
2544 112,642 106,332 118,952
2545 112,676 106,246 119,106
2546 112,710 106,163 119,257
2547 112,744 106,082 119,406
2548 112,778 106,002 119,553
2549 112,812 105,925 119,699
WORKSHEET(W2)
Probability Plot of Residuals
Arima(1,1,1)
WORKSHEET(W2)
ARIMA Model: close

0 1197,49 0,100 0,100 0,121
1 1163,14 0,058 0,141 0,028
2 1162,10 0,207 0,291 0,025
3 1161,45 0,354 0,441 0,021
4 1161,19 0,440 0,528 0,019
5 1160,99 0,508 0,593 0,017
6 1160,78 0,572 0,654 0,015
7 1160,60 0,628 0,705 0,013
8 1160,50 0,665 0,741 0,011
9 1160,48 0,685 0,758 0,011
10 1160,47 0,692 0,765 0,010
11 1160,47 0,695 0,768 0,010
12 1160,47 0,696 0,769 0,010
Unable to reduce sum of squares any further

AR 1 0,6960 0,0855 8,14 0,000
MA 1 0,7686 0,0759 10,13 0,000
Constant 0,01029 0,00313 3,28 0,001
Differencing: 1 regular difference
Number of observations: Original series 2518, after differencing 2517

DF SS MS
2514 1160,47 0,461603

Lag 12 24 36 48
Chi-Square 40,39 66,02 90,58 115,93
DF 9 21 33 45
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,668 110,336 113,000
2520 111,649 109,832 113,466
2521 111,646 109,487 113,806
2522 111,654 109,221 114,088
2523 111,670 109,005 114,336
2524 111,692 108,821 114,563
2525 111,717 108,660 114,774
2526 111,745 108,516 114,973
2527 111,775 108,385 115,164
2528 111,806 108,264 115,347
2529 111,837 108,152 115,523
2530 111,870 108,045 115,694
2531 111,903 107,945 115,860
2532 111,936 107,850 116,022
2533 111,969 107,759 116,180
2534 112,003 107,672 116,334
2535 112,036 107,588 116,485
2536 112,070 107,507 116,633
2537 112,104 107,430 116,778
2538 112,138 107,355 116,920
2539 112,171 107,282 117,060
2540 112,205 107,212 117,198
2541 112,239 107,144 117,334
2542 112,273 107,078 117,468
2543 112,307 107,014 117,600
2544 112,340 106,951 117,730
2545 112,374 106,891 117,858
2546 112,408 106,831 117,985
2547 112,442 106,774 118,110
2548 112,476 106,718 118,234
2549 112,510 106,663 118,356
WORKSHEET(W2)
Probability Plot of Residuals_1
Arima(0,1,1)
WORKSHEET(W2)
ARIMA Model: close

0 1194,67 0,100 0,134
1 1163,66 0,093 0,040
2 1163,55 0,092 0,034
3 1163,55 0,092 0,034
4 1163,55 0,092 0,034

MA 1 0,0917 0,0199 4,62 0,000
Constant 0,0340 0,0123 2,76 0,006

DF SS MS
2515 1163,55 0,462644

Lag 12 24 36 48
Chi-Square 47,57 73,68 97,81 123,10
DF 10 22 34 46
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,801 110,468 113,134
2520 111,835 110,034 113,636
2521 111,869 109,698 114,040
2522 111,903 109,417 114,389
2523 111,937 109,172 114,702
2524 111,971 108,952 114,990
2525 112,005 108,752 115,257
2526 112,039 108,568 115,510
2527 112,073 108,397 115,749
2528 112,107 108,236 115,977
2529 112,141 108,085 116,196
2530 112,175 107,942 116,407
2531 112,209 107,806 116,611
2532 112,242 107,676 116,808
2533 112,276 107,553 117,000
2534 112,310 107,434 117,187
2535 112,344 107,320 117,369
2536 112,378 107,210 117,547
2537 112,412 107,104 117,721
2538 112,446 107,001 117,891
2539 112,480 106,902 118,058
2540 112,514 106,806 118,222
2541 112,548 106,713 118,383
2542 112,582 106,622 118,542
2543 112,616 106,535 118,698
2544 112,650 106,449 118,851
2545 112,684 106,366 119,002
2546 112,718 106,285 119,151
2547 112,752 106,206 119,298
2548 112,786 106,129 119,443
2549 112,820 106,053 119,586
WORKSHEET(W2)
Probability Plot of Residuals_2
Arima(2,1,0)
WORKSHEET(W2)
ARIMA Model: close

0 1243,07 0,100 0,100 0,107
1 1162,73 -0,050 -0,034 0,020
2 1159,38 -0,085 -0,065 0,039
3 1159,37 -0,087 -0,067 0,039
4 1159,37 -0,087 -0,067 0,039
5 1159,37 -0,087 -0,067 0,039

AR 1 -0,0866 0,0199 -4,35 0,000
AR 2 -0,0670 0,0199 -3,37 0,001
Constant 0,0392 0,0135 2,90 0,004

DF SS MS
2514 1159,37 0,461164

Lag 12 24 36 48
Chi-Square 35,47 58,80 80,49 108,68
DF 9 21 33 45
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,777 110,446 113,109
2520 111,852 110,049 113,655
2521 111,881 109,749 114,012
2522 111,912 109,490 114,335
2523 111,947 109,263 114,631
2524 111,981 109,059 114,902
2525 112,015 108,874 115,156
2526 112,049 108,702 115,395
2527 112,083 108,543 115,623
2528 112,117 108,393 115,840
2529 112,151 108,253 116,049
2530 112,185 108,119 116,250
2531 112,219 107,993 116,444
2532 112,253 107,872 116,633
2533 112,287 107,757 116,817
2534 112,320 107,646 116,995
2535 112,354 107,539 117,169
2536 112,388 107,437 117,340
2537 112,422 107,338 117,506
2538 112,456 107,243 117,670
2539 112,490 107,151 117,830
2540 112,524 107,061 117,987
2541 112,558 106,975 118,142
2542 112,592 106,891 118,294
2543 112,626 106,809 118,443
2544 112,660 106,730 118,591
2545 112,694 106,652 118,736
2546 112,728 106,577 118,879
2547 112,762 106,504 119,020
2548 112,796 106,432 119,160
2549 112,830 106,363 119,298
Arima(0,1,2)
WORKSHEET(W2)
ARIMA Model: close

0 1202,05 0,100 0,100 0,134
1 1160,65 0,081 0,063 0,046
2 1160,12 0,082 0,058 0,035
3 1160,12 0,082 0,057 0,034
4 1160,12 0,082 0,057 0,034
5 1160,12 0,082 0,057 0,034

MA 1 0,0822 0,0199 4,13 0,000
MA 2 0,0572 0,0199 2,87 0,004
Constant 0,0340 0,0117 2,91 0,004

DF SS MS
2514 1160,12 0,461463

Lag 12 24 36 48
Chi-Square 37,62 61,55 83,80 111,56
DF 9 21 33 45
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,768 110,436 113,100
2520 111,837 110,029 113,644
2521 111,871 109,730 114,011
2522 111,905 109,477 114,332
2523 111,939 109,254 114,623
2524 111,973 109,053 114,892
2525 112,007 108,870 115,143
2526 112,041 108,702 115,379
2527 112,074 108,544 115,605
2528 112,108 108,397 115,820
2529 112,142 108,258 116,027
2530 112,176 108,126 116,226
2531 112,210 108,001 116,419
2532 112,244 107,882 116,607
2533 112,278 107,768 116,789
2534 112,312 107,659 116,966
2535 112,346 107,554 117,139
2536 112,380 107,452 117,308
2537 112,414 107,355 117,473
2538 112,448 107,261 117,636
2539 112,482 107,169 117,795
2540 112,516 107,081 117,951
2541 112,550 106,996 118,104
2542 112,584 106,913 118,255
2543 112,618 106,832 118,404
2544 112,652 106,753 118,550
2545 112,686 106,677 118,695
2546 112,720 106,603 118,837
2547 112,754 106,530 118,977
2548 112,788 106,460 119,116
2549 112,822 106,391 119,253
Arima(2,1,2)
WORKSHEET(W2)
ARIMA Model: close

0 1197,49 0,100 0,100 0,100 0,100 0,107
1 1161,01 0,061 0,073 0,139 0,127 0,019
2 1160,54 -0,089 0,147 -0,010 0,213 0,022
3 1160,21 -0,239 0,199 -0,160 0,278 0,027
4 1159,62 -0,156 0,052 -0,076 0,128 0,035
5 1159,07 -0,306 0,031 -0,224 0,118 0,041
6 1158,04 -0,273 -0,116 -0,191 -0,032 0,046
7 1156,31 -0,347 -0,266 -0,264 -0,179 0,054
8 1154,39 -0,387 -0,414 -0,304 -0,329 0,061
9 1152,31 -0,429 -0,561 -0,350 -0,479 0,067
10 1150,66 -0,461 -0,705 -0,385 -0,629 0,073
11 1150,40 -0,495 -0,747 -0,423 -0,672 0,076
12 1150,36 -0,510 -0,757 -0,441 -0,682 0,077
13 1150,35 -0,517 -0,766 -0,449 -0,691 0,077
14 1150,34 -0,520 -0,769 -0,453 -0,695 0,078
15 1150,34 -0,522 -0,771 -0,455 -0,697 0,078
16 1150,34 -0,523 -0,773 -0,457 -0,699 0,078
17 1150,34 -0,524 -0,774 -0,458 -0,700 0,078
18 1150,34 -0,525 -0,774 -0,458 -0,700 0,078
19 1150,34 -0,525 -0,775 -0,459 -0,701 0,078

AR 1 -0,5251 0,0707 -7,43 0,000
AR 2 -0,7747 0,0660 -11,74 0,000
MA 1 -0,4589 0,0787 -5,83 0,000
MA 2 -0,7006 0,0757 -9,25 0,000
Constant 0,0780 0,0291 2,68 0,007

DF SS MS
2512 1150,33 0,457934

Lag 12 24 36 48
Chi-Square 16,19 33,45 49,44 77,39
DF 7 19 31 43
P-Value 0,023 0,021 0,019 0,001
95% Limits
2519 111,724 110,398 113,051
2520 111,799 109,984 113,614
2521 111,827 109,658 113,995
2522 111,832 109,313 114,351
2523 111,886 109,064 114,708
2524 111,932 108,864 115,000
2525 111,944 108,632 115,256
2526 111,980 108,431 115,530
2527 112,030 108,274 115,786
2528 112,054 108,101 116,006
2529 112,081 107,930 116,232
2530 112,126 107,792 116,460
2531 112,159 107,655 116,664
2532 112,185 107,509 116,861
2533 112,224 107,383 117,065
2534 112,262 107,266 117,258
2535 112,290 107,141 117,439
2536 112,324 107,024 117,623
2537 112,362 106,919 117,805
2538 112,394 106,811 117,976
2539 112,425 106,704 118,146
2540 112,462 106,607 118,318
2541 112,496 106,511 118,482
2542 112,528 106,414 118,642
2543 112,563 106,323 118,803
2544 112,598 106,235 118,961
2545 112,630 106,147 119,114
2546 112,664 106,062 119,267
2547 112,699 105,981 119,418
2548 112,733 105,900 119,566
2549 112,766 105,820 119,712
Arima(3,1,0)
WORKSHEET(W2)
ARIMA Model: close

0 1235,47 0,100 0,100 0,100 0,094
1 1161,77 -0,050 -0,033 0,053 0,005
2 1157,32 -0,082 -0,062 0,043 0,038
3 1157,31 -0,084 -0,063 0,042 0,038
4 1157,31 -0,084 -0,063 0,042 0,038

AR 1 -0,0838 0,0199 -4,20 0,000
AR 2 -0,0633 0,0200 -3,17 0,002
AR 3 0,0422 0,0199 2,12 0,035
Constant 0,0375 0,0135 2,77 0,006

DF SS MS
2513 1157,31 0,460528

Lag 12 24 36 48
Chi-Square 29,72 51,67 72,02 100,86
DF 8 20 32 44
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,772 110,442 113,103
2520 111,860 110,056 113,664
2521 111,860 109,724 113,997
2522 111,895 109,438 114,352
2523 111,933 109,195 114,671
2524 111,965 108,976 114,954
2525 111,999 108,776 115,222
2526 112,033 108,593 115,474
2527 112,067 108,422 115,712
2528 112,101 108,262 115,940
2529 112,135 108,112 116,158
2530 112,169 107,970 116,368
2531 112,203 107,834 116,572
2532 112,237 107,706 116,768
2533 112,271 107,582 116,960
2534 112,305 107,464 117,146
2535 112,339 107,351 117,327
2536 112,373 107,241 117,504
2537 112,407 107,136 117,678
2538 112,441 107,034 117,847
2539 112,475 106,936 118,014
2540 112,509 106,840 118,177
2541 112,543 106,748 118,337
2542 112,577 106,658 118,495
2543 112,610 106,571 118,650
2544 112,644 106,486 118,803
2545 112,678 106,403 118,954
2546 112,712 106,323 119,102
2547 112,746 106,244 119,248
2548 112,780 106,168 119,393
2549 112,814 106,093 119,536
Arima(0,1,4)
WORKSHEET(W2)
ARIMA Model: close

0 1260,42 0,100 0,100 0,100 0,100 0,134
1 1164,31 0,099 0,081 -0,017 0,062 0,068
2 1157,11 0,094 0,056 -0,034 0,046 0,038
3 1156,90 0,091 0,052 -0,040 0,041 0,034
4 1156,89 0,090 0,051 -0,041 0,040 0,034
5 1156,89 0,090 0,051 -0,041 0,040 0,034
6 1156,89 0,090 0,051 -0,041 0,040 0,034
7 1156,89 0,090 0,051 -0,041 0,040 0,034

MA 1 0,0896 0,0199 4,49 0,000
MA 2 0,0510 0,0200 2,55 0,011
MA 3 -0,0410 0,0200 -2,05 0,041
MA 4 0,0395 0,0200 1,98 0,048
Constant 0,0339 0,0116 2,91 0,004

DF SS MS
2512 1156,89 0,460545

Lag 12 24 36 48
Chi-Square 30,19 52,15 73,61 101,44
DF 7 19 31 43
P-Value 0,000 0,000 0,000 0,000
95% Limits
2519 111,710 110,379 113,040
2520 111,792 109,993 113,591
2521 111,781 109,649 113,913
2522 111,841 109,396 114,286
2523 111,875 109,175 114,575
2524 111,909 108,976 114,842
2525 111,943 108,794 115,092
2526 111,977 108,626 115,327
2527 112,011 108,470 115,552
2528 112,045 108,323 115,766
2529 112,078 108,185 115,972
2530 112,112 108,054 116,171
2531 112,146 107,929 116,364
2532 112,180 107,810 116,550
2533 112,214 107,697 116,732
2534 112,248 107,588 116,909
2535 112,282 107,483 117,081
2536 112,316 107,382 117,250
2537 112,350 107,285 117,415
2538 112,384 107,191 117,577
2539 112,418 107,100 117,736
2540 112,452 107,012 117,892
2541 112,486 106,927 118,045
2542 112,520 106,844 118,196
2543 112,554 106,763 118,344
2544 112,587 106,685 118,490
2545 112,621 106,609 118,634
2546 112,655 106,535 118,776
2547 112,689 106,462 118,916
2548 112,723 106,392 119,055
2549 112,757 106,323 119,191
Arima(3,1,2)
WORKSHEET(W2)
ARIMA Model: close

0 1193,62 0,100 0,100 0,100 0,100 0,100 0,094
1 1177,57 0,046 -0,050 0,090 0,063 -0,039 0,096
2 1168,88 -0,039 -0,200 0,078 -0,010 -0,180 0,104
3 1162,58 -0,152 -0,350 0,062 -0,114 -0,320 0,112
4 1157,61 -0,281 -0,500 0,042 -0,234 -0,459 0,118
5 1153,31 -0,399 -0,650 0,018 -0,341 -0,595 0,114
6 1150,04 -0,549 -0,794 -0,015 -0,476 -0,717 0,098
7 1148,92 -0,659 -0,871 -0,042 -0,578 -0,776 0,088
8 1148,24 -0,671 -0,928 -0,050 -0,590 -0,839 0,090
9 1147,90 -0,706 -0,948 -0,055 -0,630 -0,859 0,092
10 1147,76 -0,718 -0,971 -0,062 -0,637 -0,881 0,093
11 1147,75 -0,721 -0,972 -0,062 -0,641 -0,882 0,094
12 1147,75 -0,721 -0,972 -0,062 -0,641 -0,882 0,094

AR 1 -0,7213 0,0405 -17,80 0,000
AR 2 -0,9718 0,0413 -23,53 0,000
AR 3 -0,0620 0,0226 -2,74 0,006
MA 1 -0,6414 0,0351 -18,29 0,000
MA 2 -0,8825 0,0459 -19,23 0,000
Constant 0,0935 0,0340 2,75 0,006

DF SS MS
2511 1147,74 0,457084

Lag 12 24 36 48
Chi-Square 19,71 34,58 46,09 73,54
DF 6 18 30 42
P-Value 0,003 0,011 0,030 0,002
95% Limits
2519 111,731 110,405 113,056
2520 111,917 110,116 113,718
2521 111,894 109,743 114,046
2522 111,822 109,344 114,300
2523 111,978 109,208 114,748
2524 112,031 109,018 115,044
2525 111,939 108,692 115,186
2526 112,038 108,560 115,515
2527 112,146 108,468 115,824
2528 112,071 108,204 115,939
2529 112,107 108,046 116,169
2530 112,241 108,002 116,480
2531 112,208 107,805 116,610
2532 112,193 107,621 116,765
2533 112,321 107,588 117,054
2534 112,338 107,458 117,219
2535 112,296 107,266 117,327
2536 112,395 107,216 117,574
2537 112,457 107,141 117,773
2538 112,412 106,961 117,864
2539 112,472 106,883 118,061
2540 112,562 106,844 118,280
2541 112,536 106,693 118,378
2542 112,557 106,586 118,527
2543 112,655 106,562 118,749
2544 112,659 106,449 118,869
2545 112,653 106,323 118,982
2546 112,741 106,295 119,188
2547 112,777 106,219 119,334
2548 112,759 106,090 119,428
2549 112,825 106,045 119,606
Arima(4,1,5)
WORKSHEET(W2)
ARIMA Model: close

0 1199,80 0,100 0,100 0,100 0,100 0,100 0,100 0,100 0,100 0,100
1 1162,06 -0,012 0,014 0,250 0,107 0,025 0,037 0,231 0,115 0,086
2 1147,65 -0,075 -0,136 0,341 0,183 -0,007 -0,089 0,318 0,191 0,064
3 1145,46 -0,073 -0,239 0,376 0,209 0,012 -0,179 0,361 0,221 0,040
4 1145,43 -0,151 -0,209 0,370 0,235 -0,065 -0,141 0,360 0,241 0,041
5 1145,31 -0,003 -0,268 0,443 0,152 0,083 -0,212 0,429 0,161 0,035
6 1145,23 0,076 -0,304 0,490 0,094 0,161 -0,256 0,476 0,103 0,033
7 1145,08 0,226 -0,357 0,551 -0,004 0,311 -0,322 0,533 0,009 0,031
8 1144,88 0,376 -0,417 0,619 -0,108 0,461 -0,395 0,598 -0,092 0,029
9 1144,44 0,508 -0,478 0,706 -0,231 0,593 -0,469 0,687 -0,218 0,033
10 1144,15 0,658 -0,523 0,773 -0,336 0,743 -0,527 0,750 -0,322 0,032
11 1143,80 0,808 -0,566 0,843 -0,449 0,893 -0,583 0,815 -0,435 0,032
12 1143,42 0,723 -0,528 0,841 -0,460 0,808 -0,542 0,824 -0,463 0,050
13 1142,93 0,873 -0,583 0,919 -0,567 0,958 -0,611 0,900 -0,571 0,047
14 1142,47 0,912 -0,616 0,971 -0,643 1,000 -0,654 0,965 -0,661 0,058
15 1142,39 0,928 -0,618 0,988 -0,671 1,014 -0,657 0,984 -0,692 0,059
16 1142,39 0,916 -0,617 0,983 -0,668 1,002 -0,656 0,980 -0,691 0,061
17 1142,39 0,919 -0,616 0,987 -0,668 1,005 -0,654 0,984 -0,692 0,060
Iteration Parameters
0 0,080
1 0,054
2 0,035
3 0,025
4 0,026
5 0,023
6 0,022
7 0,020
8 0,018
9 0,017
10 0,014
11 0,012
12 0,014
13 0,012
14 0,013
15 0,013
16 0,013
17 0,013
Unable to reduce sum of squares any further

AR 1 0,919 0,209 4,40 0,000
AR 2 -0,6158 0,0885 -6,95 0,000
AR 3 0,9872 0,0994 9,93 0,000
AR 4 -0,668 0,167 -3,99 0,000
MA 1 1,005 0,209 4,81 0,000
MA 2 -0,654 0,106 -6,15 0,000
MA 3 0,9839 0,0984 10,00 0,000
MA 4 -0,692 0,170 -4,07 0,000
MA 5 0,0602 0,0259 2,32 0,020
Constant 0,01278 0,00399 3,20 0,001

DF SS MS
2507 1142,37 0,455673

Lag 12 24 36 48
Chi-Square 7,69 23,91 37,48 62,92
DF 2 14 26 38
P-Value 0,021 0,047 0,068 0,007
95% Limits
2519 111,562 110,239 112,885
2520 111,601 109,808 113,393
2521 111,469 109,337 113,601
2522 111,324 108,888 113,761
2523 111,445 108,749 114,141
2524 111,502 108,606 114,398
2525 111,438 108,358 114,517
2526 111,572 108,317 114,827
2527 111,724 108,322 115,125
2528 111,692 108,152 115,231
2529 111,757 108,073 115,442
2530 111,910 108,091 115,728
2531 111,889 107,945 115,833
2532 111,875 107,797 115,954
2533 111,995 107,785 116,205
2534 112,004 107,673 116,335
2535 111,951 107,495 116,408
2536 112,037 107,455 116,620
2537 112,091 107,393 116,788
2538 112,042 107,230 116,853
2539 112,096 107,169 117,024
2540 112,185 107,150 117,220
2541 112,161 107,023 117,300
2542 112,185 106,939 117,430
2543 112,284 106,937 117,631
2544 112,292 106,848 117,735
2545 112,289 106,746 117,831
2546 112,377 106,737 118,017
2547 112,413 106,682 118,145
2548 112,397 106,573 118,222
2549 112,462 106,544 118,381
Arima(5,1,4)
WORKSHEET(W2)
ARIMA Model: close

0 1222,98 0,100 0,100 0,100 0,100 0,100 0,100 0,100 0,100 0,100
1 1162,00 0,088 0,119 -0,024 0,057 0,006 0,135 0,147 -0,050 0,067
2 1149,88 0,110 0,221 -0,125 0,036 -0,085 0,195 0,267 -0,187 0,066
3 1148,60 0,145 0,166 0,023 -0,001 -0,078 0,230 0,210 -0,037 0,021
4 1147,61 0,221 0,064 0,170 -0,040 -0,069 0,307 0,101 0,113 -0,021
5 1146,79 0,332 -0,072 0,315 -0,088 -0,058 0,418 -0,045 0,263 -0,069
6 1146,11 0,460 -0,210 0,431 -0,139 -0,047 0,546 -0,195 0,382 -0,116
7 1145,59 0,610 -0,329 0,525 -0,214 -0,038 0,696 -0,327 0,478 -0,185
8 1145,07 0,760 -0,447 0,624 -0,299 -0,029 0,846 -0,457 0,578 -0,264
9 1144,70 0,910 -0,544 0,722 -0,397 -0,022 0,996 -0,568 0,677 -0,359
10 1144,01 0,995 -0,600 0,858 -0,534 -0,028 1,081 -0,633 0,818 -0,506
11 1143,70 0,845 -0,497 0,807 -0,488 -0,046 0,931 -0,519 0,772 -0,477
12 1143,52 0,988 -0,613 0,944 -0,602 -0,037 1,073 -0,650 0,919 -0,596
13 1143,14 0,838 -0,501 0,868 -0,543 -0,056 0,923 -0,526 0,845 -0,550
14 1143,02 0,966 -0,600 0,984 -0,635 -0,044 1,051 -0,638 0,969 -0,644
15 1142,77 0,830 -0,511 0,907 -0,565 -0,060 0,915 -0,539 0,895 -0,584
16 1142,70 0,787 -0,519 0,910 -0,530 -0,061 0,874 -0,551 0,908 -0,554
17 1142,67 0,937 -0,550 0,983 -0,646 -0,055 1,022 -0,587 0,972 -0,670
18 1142,61 0,848 -0,530 0,941 -0,585 -0,058 0,933 -0,562 0,935 -0,608
19 1142,61 0,865 -0,540 0,955 -0,593 -0,052 0,948 -0,569 0,947 -0,613
20 1142,60 0,882 -0,544 0,958 -0,609 -0,056 0,966 -0,577 0,950 -0,631
21 1142,60 0,882 -0,544 0,958 -0,609 -0,054 0,966 -0,576 0,950 -0,630
22 1142,59 0,882 -0,544 0,958 -0,609 -0,055 0,966 -0,576 0,949 -0,631
23 1142,59 0,882 -0,544 0,958 -0,609 -0,055 0,966 -0,576 0,949 -0,631
Iteration Parameters
0 0,067
1 0,034
2 0,027
3 0,024
4 0,022
5 0,019
6 0,017
7 0,015
8 0,013
9 0,011
10 0,010
11 0,013
12 0,011
13 0,013
14 0,011
15 0,013
16 0,014
17 0,011
18 0,013
19 0,012
20 0,012
21 0,012
22 0,012
23 0,012

AR 1 0,882 0,228 3,88 0,000
AR 2 -0,544 0,104 -5,21 0,000
AR 3 0,958 0,112 8,57 0,000
AR 4 -0,609 0,182 -3,34 0,001
AR 5 -0,0553 0,0265 -2,09 0,037
MA 1 0,966 0,227 4,26 0,000
MA 2 -0,576 0,117 -4,93 0,000
MA 3 0,949 0,108 8,76 0,000
MA 4 -0,631 0,182 -3,47 0,001
Constant 0,01244 0,00392 3,18 0,002

DF SS MS
2507 1142,58 0,455756

Lag 12 24 36 48
Chi-Square 7,81 24,26 37,88 63,35
DF 2 14 26 38
P-Value 0,020 0,043 0,062 0,006
95% Limits
2519 111,560 110,237 112,884
2520 111,602 109,807 113,397
2521 111,480 109,344 113,615
2522 111,334 108,894 113,774
2523 111,450 108,751 114,148
2524 111,509 108,611 114,407
2525 111,444 108,361 114,526
2526 111,572 108,313 114,831
2527 111,729 108,321 115,136
2528 111,704 108,157 115,250
2529 111,769 108,076 115,462
2530 111,927 108,099 115,755
2531 111,918 107,963 115,873
2532 111,905 107,814 115,995
2533 112,024 107,801 116,248
2534 112,040 107,694 116,386
2535 111,986 107,513 116,460
2536 112,065 107,464 116,667
2537 112,120 107,402 116,838
2538 112,070 107,235 116,904
2539 112,116 107,163 117,068
2540 112,203 107,141 117,266
2541 112,182 107,015 117,350
2542 112,200 106,924 117,476
2543 112,298 106,919 117,677
2544 112,312 106,835 117,788
2545 112,308 106,731 117,884
2546 112,394 106,719 118,069
2547 112,436 106,668 118,204
2548 112,422 106,560 118,283
2549 112,483 106,526 118,439

Tug As Stat Fin Arima

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Tug As Stat Fin Arima

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Arima (1,1,0)

Estimates at Each Iteration

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

Forecasts from period 2518

Probability Plot of Residuals

ARIMA Model: close

Unable to reduce sum of squares any further

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

Probability Plot of Residuals_1

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

Probability Plot of Residuals_2

ARIMA Model: close

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic

ARIMA Model: close

Relative change in each estimate less than 0,001

Final Estimates of Parameters

Number of observations: Original series 2518, after differencing 2517

Residual Sums of Squares

Back forecasts excluded

Modified Box-Pierce (Ljung-Box) Chi-Square Statistic