Constant Mean $-$ GARCH Model Results

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Dep. Variable: rfut R$-$squared: $0\mathrm{.}000$

Mean Model: Constant Mean Adj. R$-$squared: $0\mathrm{.}000$

Vol Model: GARCH Log$-$Likelihood: $-995\mathrm{.}431$

Distribution: Normal AIC: $1998\mathrm{.}86$

Method: Maximum Likelihood BIC: $2015\mathrm{.}59$

No$.$ Observations: $484$

Date: Fri, Jul $052024$ Df Residuals: $483$

Time: $19$:$14$:$33$ Df Model: $1$

Mean Model

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coef std err t P$>|$t$|95\mathrm{.}0\%$ Conf. Int.

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mu $0\mathrm{.}09528\mathrm{.}648$e$-021\mathrm{.}1010\mathrm{.}271[-7\mathrm{.}429$e$-02,0\mathrm{.}265]$

Volatility Model

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coef std err t P$>|$t$|95\mathrm{.}0\%$ Conf. Int.

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omega $0\mathrm{.}07737\mathrm{.}455$e$-021\mathrm{.}0370\mathrm{.}300[-6\mathrm{.}882$e$-02,0\mathrm{.}223]$

alpha$[1]0\mathrm{.}01341\mathrm{.}001$e$-021\mathrm{.}3410\mathrm{.}180[-6\mathrm{.}189$e$-03,3\mathrm{.}303$e$-02]$

beta$[1]0\mathrm{.}96522\mathrm{.}416$e$-0239\mathrm{.}9450\mathrm{.}000[0\mathrm{.}918,1\mathrm{.}013]$

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Covariance estimator: robust

Iteration: $1,$ Func. Count: $7,$ Neg. LLF: $253500083\mathrm{.}09219185$

Iteration: $2,$ Func. Count: $16,$ Neg. LLF: $2358\mathrm{.}7761062122468$

Iteration: $3,$ Func. Count: $25,$ Neg. LLF: $1017\mathrm{.}1856583102043$

Iteration: $4,$ Func. Count: $32,$ Neg. LLF: $995\mathrm{.}4060890906871$

Iteration: $5,$ Func. Count: $39,$ Neg. LLF: $1000\mathrm{.}3448855764655$

Iteration: $6,$ Func. Count: $46,$ Neg. LLF: $994\mathrm{.}4693064347338$

Iteration: $7,$ Func. Count: $53,$ Neg. LLF: $993\mathrm{.}9713612424785$

Iteration: $8,$ Func. Count: $60,$ Neg. LLF: $993\mathrm{.}8896326264978$

Iteration: $9,$ Func. Count: $66,$ Neg. LLF: $993\mathrm{.}886022979246$

Iteration: $10,$ Func. Count: $72,$ Neg. LLF: $993\mathrm{.}8859844187511$

Iteration: $11,$ Func. Count: $78,$ Neg. LLF: $993\mathrm{.}8859817830952$

Iteration: $12,$ Func. Count: $83,$ Neg. LLF: $993\mathrm{.}8859817832888$

Optimization terminated successfully $($Exit mode $0)$

Current function value: $993\mathrm{.}8859817830952$

Iterations: $12$

Function evaluations: $83$

Gradient evaluations: $12$

Constant Mean $-$ EGARCH Model Results

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Dep. Variable: rfut R$-$squared: $0\mathrm{.}000$

Mean Model: Constant Mean Adj. R$-$squared: $0\mathrm{.}000$

Vol Model: EGARCH Log$-$Likelihood: $-993\mathrm{.}886$

Distribution: Normal AIC: $1997\mathrm{.}77$

Method: Maximum Likelihood BIC: $2018\mathrm{.}68$

No$.$ Observations: $484$

Date: Fri, Jul $052024$ Df Residuals: $483$

Time: $19$:$14$:$33$ Df Model: $1$

Mean Model

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coef std err t P$>|$t$|95\mathrm{.}0\%$ Conf. Int.

$---------------------------------------------------------------------------$

mu $0\mathrm{.}08818\mathrm{.}606$e$-021\mathrm{.}0230\mathrm{.}306[-8\mathrm{.}061$e$-02,0\mathrm{.}257]$

Volatility Model

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coef std err t P$>|$t$|95\mathrm{.}0\%$ Conf. Int.