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این مطلب رو هم توصیه می کنم بخونین:   تحقیق رایگان درموردانواع ریسک، ریسک بازار، عدم اطمینان، بازار سرمایه

پیوست

LEVV
MBB
PROFIT
SIZE
TANGG
RISKFIRM
INFG
Mean
0.227229
1.462713
0.155037
3.923761
0.247389
3.266456
9.800425
Median
0.21242
1.238119
0.131587
3.866898
0.21444
2.205726
14.61427
Maximum
0.511061
3.415532
1.300725
6.162698
0.580942
38.1764
17.71016
Minimum
0.005351
0.870097
-0.54297
2.415274
0.043589
0.012966
0.024553
Std. Dev.
0.149689
0.639685
0.152661
0.575418
0.158979
3.439142
7.312816
Skewness
0.30675
1.681461
1.803464
0.769051
0.616673
4.362584
-0.20365
Kurtosis
2.057696
5.226734
12.65917
4.321747
2.347012
31.95562
1.160719

Jarque-Bera
87.07986
1120.43
7322.072
283.2674
134.1366
62990.08
244.4263
Probability
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

Sum
375.6097
2417.864
256.2757
6485.976
408.9341
5399.451
16200.1
Sum Sq. Dev.
37.01612
675.994
38.50067
546.9866
41.75335
19539.36
88344.46

Observations
1653
1653
1653
1653
1653
1653
1653

Dependent Variable: IN

Method: ML – ARCH

Sample (adjusted): 1371 1392

Included observations: 22 after adjustments
Convergence achieved after 73 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1)

Variable
Coefficient
Std. Error
z-Statistic
Prob.

C
20.26122
5.358855
3.780887
0.0002
AR(1)
0.725364
0.25872
2.803664
0.0051
AR(2)
-0.21187
0.426436
-0.49684
0.6193

Variance Equation

C
105.316
34.0051
3.097067
0.0020
RESID(-1)^2
0.453087
0.190113
2.383252
0.0172
GARCH(-1)
-1.02776
0.112641
-9.12426
0.0000

R-squared
0.355338
Mean dependent var
20.78182
Adjusted R-squared
0.287479
S.D. dependent var
9.71036
S.E. of regression
8.196607
Akaike info criterion
7.043183
Sum squared resid
1276.503
Schwarz criterion
7.34074
Log likelihood
-71.475
Hannan-Quinn criter.
7.113278
Durbin-Watson stat
1.869969

Inverted AR

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