\ GARCH Model - Estimation by BFGS Convergence in 34 Iterations. Final criterion was 0.0000017 <= 0.0000100 Dependent Variable Y(1) Weekly Data From 2005:06:29 To 2013:03:27 Usable Observations 405 Log Likelihood -891.8856 Variable Coeff Std Error T-Stat Signif ************************************************************************************ 1. Mean 0.060918964 0.100732359 0.60476 0.54533807 2. C 0.118703819 0.072129352 1.64571 0.09982399 3. A 0.235558199 0.059070937 3.98772 0.00006671 4. B 0.857497567 0.029217068 29.34920 0.00000000 5. D -0.169645980 0.066568037 -2.54846 0.01081997 GARCH Model - Estimation by BFGS Convergence in 20 Iterations. Final criterion was 0.0000062 <= 0.0000100 Dependent Variable Y(2) Weekly Data From 2005:06:29 To 2013:03:27 Usable Observations 405 Log Likelihood -633.2042 Variable Coeff Std Error T-Stat Signif ************************************************************************************ 1. Mean 0.0034590829 0.0484546873 0.07139 0.94308897 2. C 0.0322029943 0.0187400422 1.71841 0.08572265 3. A 0.0772550294 0.0355321019 2.17423 0.02968772 4. B 0.8624834382 0.0345008646 24.99889 0.00000000 5. D 0.1002295289 0.0606661522 1.65215 0.09850416 Covariance\Correlation Matrix EPS(1) EPS(2) EPS(1) 0.989398203 0.05858 EPS(2) 0.058117310 0.994747107 Covariance\Correlation Matrix ETA(1) ETA(2) ETA(1) 0.578060004 0.27940 ETA(2) 0.154451727 0.528645462 Two-step ADCC - Estimation by BFGS Convergence in 16 Iterations. Final criterion was 0.0000011 <= 0.0000100 Weekly Data From 2005:07:06 To 2013:03:27 Usable Observations 404 Function Value -1521.1698 Variable Coeff Std Error T-Stat Signif ************************************************************************************* 1. AFIX -0.000000001 0.113465564 -1.08828e-008 0.99999999 2. BFIX 0.888352848 0.018762293 47.34778 0.00000000 3. GFIX 0.000000023 0.241445550 9.59345e-008 0.99999992 ADCC BIC 3120.35807