1. Heteroskedasticity Test: ARCH
F-statistic 22.52871 Prob. F(2,993) 0.0000
Obs*R-squared 43.23190 Prob. Chi-Square(2) 0.0000
Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/20/12 Time: 00:28
Sample (adjusted): 5 1000
Included observations: 996 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 7.27E-05 5.31E-06 13.70152 0.0000
RESID^2(-1) 0.211174 0.031786 6.643565 0.0000
RESID^2(-2) -0.014305 0.031782 -0.450110 0.6527
R-squared 0.043406 Mean dependent var 9.05E-05
Adjusted R-squared 0.041479 S.D. dependent var 0.000126
S.E. of regression 0.000123 Akaike info criterion -15.16554
Sum squared resid 1.50E-05 Schwarz criterion -15.15077
Log likelihood 7555.440 Hannan-Quinn criter. -15.15993
F-statistic 22.52871 Durbin-Watson stat 1.994761
Prob(F-statistic) 0.000000