VAR Lag Order Selection Criteria

Endogenous variables: RAPPLE

Exogenous variables: C
Date: 06/12/19 Time: 17:49
Sample: 5/22/2014 5/21/2019
Included observations: 1249

Lag LogL LR FPE AIC SC HQ

0 3437.338 NA 0.000239* -5.502543* -5.498436* -5.500999*

1 3437.406 0.135734 0.000239 -5.501051 -5.492836 -5.497963
2 3438.354 1.890472 0.000239 -5.500967 -5.488645 -5.496334
3 3438.59 0.469915 0.000239 -5.499743 -5.483314 -5.493566
4 3438.616 0.051911 0.00024 -5.498183 -5.477647 -5.490463
5 3438.62 0.008131 0.00024 -5.496589 -5.471945 -5.487324
6 3438.62 4.03E-06 0.00024 -5.494987 -5.466236 -5.484178
7 3443.425 9.548334* 0.000239 -5.50108 -5.468221 -5.488727
8 3444.183 1.506606 0.000239 -5.500694 -5.463728 -5.486797

* 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
Criterio AR(1) AR(2) AR(3) AR(4) AR(5) AR(6)
Akaike info criterion -5.503277 -5.504938 -5.503050 -5.502933 -5.502189 -5.501569
Schwarz criterion -5.495099 -5.496755 -5.494862 -5.494740 -5.493990 -5.493365
Hannan-Quinn criterion -5.500203 -5.501862 -5.499972 -5.499853 -5.499107 -5.498485

Dependent Variable: RAPPLE

Variable Coefficien... Std. Error

C 0.000755 0.000478
AR(7) 0.088654 0.028401

R-squared 0.007747 Mean depend

Adjusted R-squared 0.006952 S.D. depend
S.E. of regression 0.015386 Akaike info c
Sum squared resid 0.295431 Schwarz crit
Log likelihood 3445.213 Hannan-Quin
F-statistic 9.743930 Durbin-Wats
Prob(F-statistic) 0.001840

Inverted AR Roots .71 .44+.55...

Ningún criterio indican que es un modelo AR (n) -.16+.69i -.64+.31... -

Heteroskedasticity Test: ARCH

F-statistic 8.206308 Prob. F(8,123

Obs*R-squared 62.78662 Prob. Chi-Squ
 AR(7) AR(8)
-5.509141* -5.502015
-5.500931* -5.493801
-5.506054* -5.498927

PLE

efficien... Std. Error t-Statistic Prob.

0.000755 0.000478 1.581518 0.1140

0.088654 0.028401 3.121527 0.0018

0.007747 Mean dependent var 0.000763

0.006952 S.D. dependent var 0.015440
0.015386 Akaike info criterion -5.509141
0.295431 Schwarz criterion -5.500931
3445.213 Hannan-Quinn criter. -5.506054
9.743930 Durbin-Watson stat 1.972282
0.001840

.71 .44+.55... .44-.55i -.16-.69i

6+.69i -.64+.31... -.64-.31i

RCH

8.206308 Prob. F(8,1233) 0.0000

62.78662 Prob. Chi-Square(8) 0.0000
VAR Lag Order Selection Criteria
Endogenous variables: RESID2
Exogenous variables: C
Date: 06/13/19 Time: 13:50
Sample: 5/22/2014 5/21/2019
Included observations: 1247

Lag LogL LR FPE AIC SC HQ

0 7531.926 NA 3.33E-07 -12.07847 -12.07436 -12.07692

1 7539.842 15.80753 3.29E-07 -12.08956 -12.08134 -12.08647
2 7540.62 1.551244 3.29E-07 -12.08921 -12.07687 -12.08457
3 7545.2 9.131373 3.27E-07 -12.09495 -12.0785 -12.08876
4 7545.462 0.522251 3.28E-07 -12.09376 -12.0732 -12.08603
5 7558.245 25.44177 3.21E-07 -12.11266 -12.08799* -12.10338*
6 7559.809 3.11E+00 3.21E-07 -12.11357 -12.08478 -12.10274
7 7560.954 2.275201 3.21E-07 -12.1138 -12.0809 -12.10143
8 7563.703 5.457271* 3.20e-07* -12.11660* -12.07959 -12.10269
9 7564.092 0.773054 3.20E-07 -12.11563 -12.0745 -12.10016
10 7564.407 0.622639 3.21E-07 -12.11453 -12.06929 -12.09752

* 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
 0 1 2 3 4
Criterio Sin Lag ARCH(1) ARCH(2) ARCH(3) ARCH(4)
Akaike info criterion -12.07847 -12.08956 -12.08921 -12.09495 -12.09376
Schwarz criterion -12.07436 -12.08134 -12.07687 -12.0785 -12.0732
Hannan-Quinn criterion -12.07692 -12.08647 -12.08457 -12.08876 -12.08603

Orden del ARCH

Ningún criterio indican que es un modelo AR (n)

Variable Coefficien... Std. Error z-Statistic Prob.

C 0.001297 0.000389 3.335885 0.0009

AR(7) 0.062122 0.025413 2.444467 0.0145

Variance Equation

C 0.000120 6.48E-06 18.46153 0.0000

RESID(-1)^2 0.157522 0.033522 4.699057 0.0000
RESID(-2)^2 0.051604 0.023921 2.157255 0.0310
RESID(-3)^2 0.137837 0.024713 5.577425 0.0000
RESID(-4)^2 0.065214 0.025630 2.544407 0.0109
RESID(-5)^2 0.116274 0.019351 6.008783 0.0000

Modelo ARCH(5)

RESID(-1)^2 0.157522
RESID(-2)^2 0.051604
RESID(-3)^2 0.137837
RESID(-4)^2 0.065214
RESID(-5)^2 0.116274
Suma 0.528451
 5 6 7 8 9 10
ARCH(5) ARCH(6) Criterio AR(1) AR(2) AR(3)
-12.11266 -12.11357 Akaike info criterion -12.09619 -12.08496 -12.0908
-12.08799* -12.08478 Schwarz criterion -12.08801 -12.07677 -12.08261
-12.10338* -12.10274 Hannan-Quinn criterion -12.09312 -12.08188 -12.08772

en del ARCH
 AR(4) AR(5) AR(6)
-12.08288 -12.10402* -12.0875
-12.07468 -12.09582* -12.0793
-12.0798 -12.10094* -12.08442
Criterio GARH(1,1) GARH(2,1) GARH(1,2) GARH(2,2) GARH(1,3)
Akaike info criterion -5.603095 -5.603095 -5.604194 -5.60313 -5.605184*
Schwarz criterion -5.58265* -5.58265 -5.579661 -5.574508 -5.576561
Hannan-Quinn criterion -5.595411* -5.595411 -5.594974 -5.592373 -5.594426

Dependent Variable: RAPPLE

Variable Coefficien... Std. Error z-Statistic Prob.

C 0.001500 0.000381 3.940917 0.0001

AR(1) 0.007540 0.031942 0.236056 0.8134

Variance Equation

C 1.91E-05 3.36E-06 5.692213 0.0000

RESID(-1)^2 0.112736 0.021277 5.298532 0.0000
GARCH(-1) 0.810427 0.030087 26.93611 0.0000
Modelo GARCH (1,1)

ht = 0.0000191031+ 0.112736 Ԑ2 t-1+

0.810427 ht-1

α0= 0.000019 C
RESID(-1)^2
α1= 0.112736 El shock de las noticias GARCH(-1)

β1= 0.810427 Volatilidad de un periodo anterior

α1 + β1 = 0.923163

El modelo GARCH es estacionario

Varianza
Rezagada
∑24_(𝑗=1)^𝑝▒
∑24_(𝑖=1)^𝑚▒ 〖 "
〖�𝑗ℎ𝑡−𝑖〗 α" 𝑖�2𝑡−𝑖 〗 Noticias o
Shocks

∑=
−
p
j
itjh
1
β
 GARH(2,3) GARH(3,3)
-5.604235 -5.603817
-5.571524 -5.567016
-5.591941 -5.589986

Modelo GARCH (1,1)

Heteroskedasticity Test: ARCH

F-statistic 0.034
Obs*R-squared 0.034

C 1.9E-05 3.36E-06 5.692213 0.0000

RESID(-1)^2 0.112736 0.021277 5.298532 0.0000
GARCH(-1) 0.810427 0.030087 26.93611 0.0000

∑ = βjht-i
−
p
j
itjh
1
β
Heteroskedasticity Test: ARCH

F-statistic 0.034937 Prob. F(1,1253) 0.8518

Obs*R-squared 0.034992 Prob. Chi-Square(1) 0.8516
VAR Lag Order Selection Criteria
Endogenous variables: RSP500
Exogenous variables: C
Date: 06/14/19 Time: 03:07
Sample: 5/22/2014 5/21/2019
Included observations: 1247

Lag LogL LR FPE AIC SC HQ

0 4188.97 NA* 7.09e-05* -6.716872* -6.712760* -6.715326*

1 4189.228 0.515048 7.09E-05 -6.715682 -6.707457 -6.71259
2 4189.963 1.466062 7.10E-05 -6.715257 -6.702919 -6.710618
3 4190.108 0.290665 7.11E-05 -6.713887 -6.697436 -6.707702
4 4191.402 2.577693 7.10E-05 -6.714358 -6.693795 -6.706627
5 4191.9 0.989811 7.11E-05 -6.713552 -6.688876 -6.704274
6 4191.98 1.60E-01 7.12E-05 -6.712077 -6.683288 -6.701253
7 4192.256 0.549392 7.13E-05 -6.710916 -6.678015 -6.698546
8 4193.934 3.331496 7.12E-05 -6.712004 -6.67499 -6.698087
9 4194.612 1.344397 7.12E-05 -6.711487 -6.67036 -6.696024
10 4194.833 0.438229 7.13E-05 -6.710237 -6.664998 -6.693228

* 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
 1 2 3 4 5 6
Criterio AR(1) AR(2) AR(3) AR(4) AR(5) AR(6)
Akaike info criterion -6.715682 -6.715257 -6.713887 -6.714358 -6.713552 -6.712077
Schwarz criterion -6.707457 -6.702919 -6.697436 -6.693795 -6.688876 -6.683288
Hannan-Quinn criterion -6.71259 -6.710618 -6.707702 -6.706627 -6.704274 -6.701253

Orden del ARCH Heteroskedasticity Test: ARCH

F-statistic 27.43949
Obs*R-squared 187.8537

Ningún criterio indican que es un modelo AR (n)

Modelo ARCH(5)

RESID(-1)^2
RESID(-2)^2
RESID(-3)^2
RESID(-4)^2
RESID(-5)^2
Suma
 7 8 9 10
Criterio AR(1) AR(2) AR(3) AR(4) AR(5)
Akaike info criterion -12.09619 -12.08496 -12.0908 -12.08288 -12.10402*
Schwarz criterion -12.08801 -12.07677 -12.08261 -12.07468 -12.09582*
Hannan-Quinn criterion -12.09312 -12.08188 -12.08772 -12.0798 -12.10094*

Heteroskedasticity Test: ARCH

F-statistic 27.43949 Prob. F(8,1240) 0.0000

Obs*R-squared 187.8537 Prob. Chi-Square(8) 0.0000
AR(6)
-12.0875
-12.0793
-12.08442
VAR Lag Order Selection Criteria
Endogenous variables: RESID2SP500
Exogenous variables: C
Date: 06/14/19 Time: 04:02
Sample: 5/22/2014 5/21/2019
Included observations: 1247

Lag LogL LR FPE AIC SC HQ

0 9051.325 NA 2.91E-08 -14.51536 -14.51124 -14.51381

1 9105.519 108.2134 2.67E-08 -14.60067 -14.59245 -14.59758
2 9119.381 27.6573 2.62E-08 -14.6213 -14.60896 -14.61666
3 9128.846 18.8702 2.58E-08 -14.63488 -14.61843 -14.62869
4 9136.091 14.43019 2.55E-08 -14.64489 -14.62433 -14.63716
5 9136.091 0.001336 2.56E-08 -14.64329 -14.61861 -14.63401
6 9152.146 31.93029* 2.50e-08* -14.66744* -14.63865* -14.65661*
7 9152.838 1.374824 2.50E-08 -14.66694 -14.63404 -14.65457
8 9152.899 0.120272 2.50E-08 -14.66544 -14.62842 -14.65152
9 9152.988 0.177602 2.51E-08 -14.66397 -14.62285 -14.64851
10 9154.683 3.358356 2.50E-08 -14.66509 -14.61985 -14.64808

* 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
 0 1 2 3 4
Criterio Sin Lag ARCH(1) ARCH(2) ARCH(3) ARCH(4)
Akaike info criterion -6.855753 -6.909083 -6.948987 -6.990654
Schwarz criterion -6.843494 -6.892738 -6.928555 -6.966136
Hannan-Quinn criterion -6.851145 -6.90294 -6.941308 -6.98144

Orden del ARCH

Ningún criterio indican que es un modelo AR (n)

Variable Coefficien... Std. Error z-Statistic Prob.

C 0.000782 0.000180 4.342800 0.0000

Variance Equation

C 1.74E-05 1.28E-06 13.64531 0.0000

RESID(-1)^2 0.210919 0.025181 8.376112 0.0000
RESID(-2)^2 0.120575 0.034003 3.546061 0.0004
RESID(-3)^2 0.147168 0.028871 5.097482 0.0000
RESID(-4)^2 0.178434 0.029688 6.010317 0.0000
RESID(-5)^2 0.046602 0.017905 2.602710 0.0092
RESID(-6)^2 0.097454 0.029304 3.325582 0.0009

Modelo ARCH(5)

RESID(-1)^2 0.210919
RESID(-2)^2 0.120575
RESID(-3)^2 0.147168
RESID(-4)^2 0.178434
RESID(-5)^2 0.046602
RESID(-6)^2 0.097454
Suma 0.801152
 5 6 7 8 9 10
ARCH(5) ARCH(6) ARCH(7) Criterio AR(1) AR(2)
-7.004798 -7.012767* -7.011263 Akaike info criterion -6.855753 -6.909083
-6.976193 -6.980077* -6.974486 Schwarz criterion -6.843494 -6.892738
-6.994047 -7.000481* -6.997441 Hannan-Quinn criterion -6.851145 -6.90294

n del ARCH
 AR(3) AR(4) AR(5) AR(6) AR(7)
-6.948987 -6.990654 -7.004798 -7.012767 -7.011263
-6.928555 -6.966136 -6.976193 -6.980077 -6.974486
-6.941308 -6.98144 -6.994047 -7.000481 -6.997441
Criterio GARH(1,1) GARH(2,1) GARH(1,2) GARH(2,2) GARH(1,3)
Akaike info criterion 8.777848 8.652079* 11.99615 11.53945 11.53095
Schwarz criterion 8.798279 8.676597* 12.02067 11.56806 11.55956
Hannan-Quinn criterion 8.785526 8.661294* 12.00537 11.5502 11.5417

Dependent Variable: SP500

Variable Coefficien... Std. Error z-Statistic Prob.

C 18818.93 271198.9 0.069392 0.9447

AR(1) 0.999917 0.001362 733.9348 0.0000

Variance Equation

C 484.1437 23.44118 20.65356 0.0000

RESID(-1)^2 0.338887 0.037635 9.004621 0.0000
RESID(-2)^2 0.316727 0.037764 8.387110 0.0000
GARCH(-1) -0.926373 0.067234 -13.77834 0.0000

ht = 0.0000191031+ 0.112736 Ԑ2 t-1+

0.810427 ht-1

α0= 484.143700

α1= 0.338887 El shock de las noticias

α2= 0.316727

β1= -0.926373 Volatilidad de un periodo anterior

α1 + β1 = -0.270759

El modelo GARCH tiene coeficiente negativo

Varianza
Rezagada
∑24_(𝑗=1)^𝑝▒
∑24_(𝑖=1)^𝑚▒ 〖 "
〖�𝑗ℎ𝑡−𝑖〗 α" 𝑖�2𝑡−𝑖 〗 Noticias o
Shocks

∑=
−
p
j
itjh
 1
β
 GARH(2,3) GARH(3,3)
11.63717 11.57498
11.66986 11.61176
11.64946 11.5888

Date: 06/14/19 Time: 04:56

Sample: 5/22/2014 5/21/2019
Included observations: 1257
Q-statistic probabilities adjusted for 1 ARMA term

Autocorrelation Partial Correlation AC PA... Q-St... Pro...

1-0.01... -0.01... 0.146...

Modelo GARCH (2,1) 2-0.01... -0.01... 0.612... 0.43...
3 0.02... 0.02... 1.643... 0.44...
4-0.01... -0.01... 1.790... 0.61...
5-0.04... -0.03... 3.819... 0.43...
6-0.01... -0.01... 4.057... 0.54...
7 0.01... 0.01... 4.503... 0.60...
8-0.05... -0.04... 7.731... 0.35...
9-0.03... -0.03... 9.517... 0.30...
1... -0.00... -0.00... 9.517... 0.39...
1... -0.00... -0.00... 9.626... 0.47...

Heteroskedasticity Test: ARCH

F-statistic 4.791838 Prob. F(2,1252) 0.0084

Obs*R-squared 9.533663 Prob. Chi-Square(2) 0.0085

Dependent Variable: SP500

Variable Coefficien... Std. Error z-Statistic Prob.

C 18818.93 271198.9 0.069392 0.9447

AR(1) 0.999917 0.001362 733.9348 0.0000

∑ = βjht-i Variance Equation

−
C 484.1437 23.44118 20.65356 0.0000
p RESID(-1)^2 0.338887 0.037635 9.004621 0.0000
j RESID(-2)^2 0.316727 0.037764 8.387110 0.0000
itjh GARCH(-1) -0.926373 0.067234 -13.77834 0.0000
 C 484.1437 23.44118 20.65356 0.0000
RESID(-1)^2 0.338887 0.037635 9.004621 0.0000
RESID(-2)^2 0.316727 0.037764 8.387110 0.0000
GARCH(-1) -0.926373 0.067234 -13.77834 0.0000
1
β
. Q-St... Pro...

.. 0.146...
.. 0.612... 0.43...
.. 1.643... 0.44...
.. 1.790... 0.61...
.. 3.819... 0.43...
.. 4.057... 0.54...
.. 4.503... 0.60...
.. 7.731... 0.35...
.. 9.517... 0.30...
.. 9.517... 0.39...
.. 9.626... 0.47...

0.0084
(2) 0.0085

-Statistic Prob.

0.069392 0.9447
733.9348 0.0000

20.65356 0.0000
9.004621 0.0000
8.387110 0.0000
13.77834 0.0000
20.65356 0.0000
9.004621 0.0000
8.387110 0.0000
13.77834 0.0000