پایان نامه ارشد درمورد t، ε_(t-1)/σ_(t-1)، GED، (1.4-)

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(4.5) (6.8) (4.9-)
EGARCH-M
نرمال
y_t=.01+0.91y_(t-1)-0.48u_(t-1)-0.21u_(t-2)-0.07u_(t-3)+0.12σ
(1.1) (1.88-) (5.7-) (10.4-) (24.1) (1.14)
〖lnσ〗_t^2=-.78+0.3|ε_(t-1)/σ_(t-1) |+0.11 ε_(t-1)/σ_(t-1) +0.94lnσ_(t-1)^2
(160.1) (7.7) (12.7) (11.2-)

t
y_t=-.01+0.89y_(t-1)-0.43u_(t-1)-0.18u_(t-2)-0.1u_(t-3)+0.02σ
(0.29) (2.9-) (4.1-) (8.2-) (20.1) (0.26-)
〖lnσ〗_t^2=-.24+0.2|ε_(t-1)/σ_(t-1) |+0.12 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(212.7) (5.3) (6.1) (4.4-)

GED
y_t=-.01+0.86y_(t-1)-0.39u_(t-1)-0.16u_(t-2)-0.06u_(t-3)+0.04σ
(0.6-) (2.2-) (4.7-) (7.5-) (18.9) (0.9-)
〖lnσ〗_t^2=-.45+0.25|ε_(t-1)/σ_(t-1) |+0.11 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(129.1) (4.4) (6.7) (4.9-)
IGARCH
نرمال
y_t=.01+0.89y_(t-1)-0.44u_(t-1)-0.21u_(t-2)-0.02u_(t-3)
(0.6-) (6.7-) (10.9-) (28.3) (1.7)
σ_t^2=0.09ε_(t-1)^2+0.91σ_(t-1)^2
(254.1) (25.6)

t
y_t=-.01+0.87y_(t-1)-0.39u_(t-1)-0.18u_(t-2)-0.09u_(t-3)
(2.6-) (4.7-) (7.1-) (18.3) (1.4)
σ_t^2=0.11ε_(t-1)^2+0.89σ_(t-1)^2
(87.6) (10.5)

GED
y_t=-.01+0.82y_(t-1)-0.33u_(t-1)-0.15u_(t-2)-0.06u_(t-3)
(2.1-) (4.3-) (5.9-) (16.2) (2.3-)
σ_t^2=0.1ε_(t-1)^2+0.9σ_(t-1)^2
(101.3) (10.8)
IGARCH-M
نرمال
y_t=.01+0.9y_(t-1)-0.45u_(t-1)-0.22u_(t-2)-0.02u_(t-3)-0.06σ
(0.07-) (0.7-) (6.8-) (11.4-) (28.4) (1.07)
σ_t^2=0.09ε_(t-1)^2+0.11σ_(t-1)^2
(248.1) (25.1)

t
y_t=-.01+0.87y_(t-1)-0.39u_(t-1)-0.18u_(t-2)-0.09u_(t-3)-0.01σ
(0.08-) (2.5-) (4.6-) (6.9-) (17.3) (1.2-)
σ_t^2=0.11ε_(t-1)^2+0.89σ_(t-1)^2
(87.6) (10.4)

GED
y_t=-.01-0.61y_(t-1)+1.11u_(t-1)+0.49u_(t-2)+0.13u_(t-3)-0.01σ
(0.24-) (3.63) (4.89) (5.42) (3.01) (3.1-)
σ_t^2=0.11ε_(t-1)^2+0.89σ_(t-1)^2
(99.9) (11.1)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت معدن
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.001+0.39y_(t-1)
(12.6) (1.5)
σ_t^2=.001+0.19ε_(t-1)^2+0.47σ_(t-1)^2
(5.5) (4.6) (6.2)

t
y_t=-.001+0.41y_(t-1)
(16.3) (1.7-)
σ_t^2=.001+0.94ε_(t-1)^2+0.71σ_(t-1)^2
(32.1) (2.7) (1.1)

GED
y_t=-.001+0.36y_(t-1)
(24.06) (1.3-)
σ_t^2=.001+0.36ε_(t-1)^2+0.8σ_(t-1)^2
(48.7) (4.5) (1.9)
GARCH-M
نرمال
y_t=-.005+0.36y_(t-1)+0.51σ
(2.47) (10.9) (2.05-)
σ_t^2=.001+0.19ε_(t-1)^2+0.47σ_(t-1)^2
(6.1) (4.9) (6.8)

t
y_t=-.001+0.40y_(t-1)+0.003σ
(0.11) (16.2) (1.4-)
σ_t^2=.001+0.94ε_(t-1)^2+0.7σ_(t-1)^2
(32.1) (2.7) (1.1)

GED
y_t=-.001+0.36y_(t-1)-0.01σ
(1.4-) (25.4) (2.4-)
σ_t^2=.001+0.39ε_(t-1)^2+0.79σ_(t-1)^2
(44.3) (6.1) (2.05)
EGARCH
نرمال
y_t=.001+0.37y_(t-1)
(11.2) (2.53)
〖lnσ〗_t^2=-3.49+0.26|ε_(t-1)/σ_(t-1) |+0.05 ε_(t-1)/σ_(t-1) +0.61lnσ_(t-1)^2
(7.7) (1.67) (4.9) (4.8-)

t
y_t=-.001+0.41y_(t-1)
(19.8) (0.18-)
〖lnσ〗_t^2=-.34+0.3|ε_(t-1)/σ_(t-1) |+0.14 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(175.1) (4.1) (5.9) (5.8-)

GED
y_t=-.001+0.36y_(t-1)
(22.9) (1.4-)
〖lnσ〗_t^2=-.42+0.24|ε_(t-1)/σ_(t-1) |+0.09 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(136.9) (3.1) (7.09) (5.5-)
EGARCH-M
نرمال
y_t=-.014+0.29y_(t-1)+1.1σ
(5.4) (6.8) (5.6-)
〖lnσ〗_t^2=-2.9+0.27|ε_(t-1)/σ_(t-1) |+0.08 ε_(t-1)/σ_(t-1) +0.68lnσ_(t-1)^2
(12.5) (2.7) (6.3) (5.9-)

t
y_t=-.001+0.41y_(t-1)-0.013σ
(0.53-) (19.8) (0.23-)
〖lnσ〗_t^2=-0.35+0.3|ε_(t-1)/σ_(t-1) |+0.14 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(168.1) (4.1) (5.7) (5.7-)

GED
y_t=-.001+0.36y_(t-1)-0.02σ
(1.16-) (23.2) (1.41-)
〖lnσ〗_t^2=-0.4+0.23|ε_(t-1)/σ_(t-1) |+0.09 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(147.3) (3.3) (7.4) (5.5-)
IGARCH
نرمال
y_t=.001+0.36y_(t-1)
(21.1) (33.8)
σ_t^2=0.01ε_(t-1)^2+0.99σ_(t-1)^2
(1823.8) (6.7)

t
y_t=-.001+0.4y_(t-1)
(19.1) (1.5-)
σ_t^2=0.19ε_(t-1)^2+0.81σ_(t-1)^2
(72.9) (17.1)

GED
y_t=-.001+0.36y_(t-1)
(25.9) (2.4-)
σ_t^2=0.09ε_(t-1)^2+0.91σ_(t-1)^2
(134.2) (12.8)
IGARCH-M
نرمال
y_t=-.02+0.34y_(t-1)+1.9σ
(15.6) (24.8) (10.1-)
σ_t^2=0.01ε_(t-1)^2+0.99σ_(t-1)^2
(7735.3) (14.1)

t
y_t=-.001+0.4y_(t-1)+0.003σ
(0.11) (18.9) (0.7-)
σ_t^2=0.19ε_(t-1)^2+0.81σ_(t-1)^2
(72.9) (17.18)

GED
y_t=-.001+0.36y_(t-1)-0.03σ
(1.84-) (25.3) (1.7-)
σ_t^2=0.8ε_(t-1)^2+0.92σ_(t-1)^2
(148.6) (13.1)

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