Model 1 Model 2 Equation: UNTITLED Workfile: ASSIGNMENT_QU... - X Equation: UNTITLED Workfile: ASSIGNMENT_QU... - _ X View Proc Object Print Name Freeze Estimate Forecast Stats Resids View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: SPREAD Dependent Variable: SPREAD Method: ARMA Maximum Likelihood (OPG - BHHH) Method: ARMA Maximum Likelihood (OPG - BHHH) Date: 05/09/23 Time: 19:43 Date: 05/09/23 Time: 19:46 Sample: 2005M03 2022M08 Sample: 2005M03 2022M08 Included observations: 210 Included observations: 210 Convergence achieved after 25 iterations Convergence achieved after 21 iterations Coefficient covariance computed using outer product of gradients Coefficient covariance computed using outer product of gradients Variable Coefficient Std. Error t-Statistic Prob. Variable Coefficient Std. Error t-Statistic Prob. C -0.053441 0.229217 -0.233145 0.8159 C -0.069021 0.200321 -0.344553 0.7308 AR(1) 0.924059 0.018894 48.90685 0.0000 AR(1) 1.298516 0.048980 26.51134 0.0000 MA(1) 0.367204 0.057085 6.432540 0.0000 AR(2) -0.363766 0.049046 -7.416784 0.0000 SIGMASQ 0.031720 0.002380 13.32740 0.0000 SIGMASQ 0.031442 0.002466 12.74897 0.0000 R-squared 0.919383 Mean dependent var -0.096296 R-squared 0.920091 Mean dependent var -0.096296 Adjusted R-squared 0.918209 S.D. dependent var 0.628772 Adjusted R-squared 0.918927 S.D. dependent var 0.628772 S.E. of regression 0. 179823 Akaike info criterion -0.562194 S.E. of regression 0.179032 Akaike info criterion -0.571002 Sum squared resid 6.661267 Schwarz criterion -0.498440 Sum squared resid 6.602789 Schwarz criterion -0.507247 Log likelihood 63.03042 Hannan-Quinn criter. -0.536421 Log likelihood 63.95517 Hannan-Quinn criter. -0.545228 F-statistic 783.1020 Durbin-Watson stat 1.938336 F-statistic 790.6458 Durbin-Watson stat 1.980953 Prob(F-statistic) 0.000000 Prob(F-statistic) 0.000000 Inverted AR Roots 92 Inverted AR Roots 89 41 Inverted MA Roots -.37