Dependent Variable: R(-1)

Method: ML - ARCH (Marquardt)

Date: 05/09/10
Time: 18:03

Sample(adjusted): 2 732

Included observations: 731 after adjusting endpoints

Convergence achieved after 16 iterations

Variance backcast: ON

Coefficient

Std. Error

z-Statistic

Prob.

D1(-1)

0.004340

0.001114

3.896179

0.0001

D2(-1)

0.002606

0.001383

1.884742

0.0595

D3(-1)

-0.001017

0.001223

-0.831196

0.4059

D4(-1)

0.003283

0.001444

2.273284

0.0230

D5(-1)

0.000394

0.001411

0.278870

0.7803

Variance Equation

C

1.91E-06

1.02E-06

1.866072

0.0620

ARCH(1)

0.066765

0.010894

6.128754

0.0000

GARCH(1)

0.935913

0.009603

97.46047

0.0000

R-squared

0.004867

Mean dependent var

0.000876

Adjusted R-squared

-0.004767

S.D. dependent var

0.021685

S.E. of regression

0.021737

Akaike info criterion

-5.049252

Sum squared resid

0.341602

Schwarz criterion

-4.998971

Log likelihood

1853.501

Durbin-Watson stat

1.970051