Unit Run Test Neel Kamal

Null Hypothesis: D(NEEL_KAMAL_ADJ_CLOSE) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -13.45283 0.0000

Test critical values: 1% level -3.457515
5% level -2.873390
10% level -2.573160

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(NEEL_KAMAL_ADJ_CLOSE,2)
Method: Least Squares
Date: 12/07/19 Time: 18:03
Sample (adjusted): 3 242
Included observations: 240 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(NEEL_KAMAL_ADJ_CLOSE(-1)) -0.854752 0.063537 -13.45283 0.0000

C -0.522139 1.520826 -0.343326 0.7317

R-squared 0.431952 Mean dependent var 0.233201

Adjusted R-squared 0.429565 S.D. dependent var 31.17352
S.E. of regression 23.54447 Akaike info criterion 9.163957
Sum squared resid 131933.4 Schwarz criterion 9.192963
Log likelihood -1097.675 Hannan-Quinn criter. 9.175644
F-statistic 180.9786 Durbin-Watson stat 1.993160
Prob(F-statistic) 0.000000

Least Square Method

Dependent Variable: NEEL_KAMAL_ADJ_CLOSE

Method: Least Squares
Date: 12/07/19 Time: 18:04
Sample: 1 242
Included observations: 242

Variable Coefficient Std. Error t-Statistic Prob.

C 1239.698 9.380239 132.1606 0.0000

R-squared 0.000000 Mean dependent var 1239.698

Adjusted R-squared 0.000000 S.D. dependent var 145.9223
S.E. of regression 145.9223 Akaike info criterion 12.80815
Sum squared resid 5131687. Schwarz criterion 12.82257
Log likelihood -1548.786 Hannan-Quinn criter. 12.81396
Durbin-Watson stat 0.026800
Heteroskedasiticity Test ARCH

Heteroskedasticity Test: ARCH

F-statistic 2974.704 Prob. F(1,239) 0.0000

Obs*R-squared 223.0771 Prob. Chi-Square(1) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/07/19 Time: 18:06
Sample (adjusted): 2 242
Included observations: 241 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 649.3940 593.2953 1.094554 0.2748

RESID^2(-1) 0.956889 0.017544 54.54084 0.0000

R-squared 0.925631 Mean dependent var 21013.80

Adjusted R-squared 0.925320 S.D. dependent var 26192.35
S.E. of regression 7157.762 Akaike info criterion 20.59805
Sum squared resid 1.22E+10 Schwarz criterion 20.62697
Log likelihood -2480.065 Hannan-Quinn criter. 20.60970
F-statistic 2974.704 Durbin-Watson stat 1.656473
Prob(F-statistic) 0.000000

ARCH Method

Dependent Variable: NEEL_KAMAL_ADJ_CLOSE

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/07/19 Time: 18:08
Sample: 1 242
Included observations: 242
Convergence achieved after 150 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

C 1231.861 2.753497 447.3807 0.0000

Variance Equation

C 544.8912 156.9640 3.471440 0.0005

RESID(-1)^2 1.067267 0.335224 3.183742 0.0015
GARCH(-1) -0.108643 0.152390 -0.712927 0.4759

R-squared -0.002896 Mean dependent var 1239.698

Adjusted R-squared -0.002896 S.D. dependent var 145.9223
S.E. of regression 146.1334 Akaike info criterion 11.82815
Sum squared resid 5146549. Schwarz criterion 11.88581
Log likelihood -1427.206 Hannan-Quinn criter. 11.85138
Durbin-Watson stat 0.026723

GARCH Method

Dependent Variable: NEEL_KAMAL_ADJ_CLOSE

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/07/19 Time: 18:09
Sample: 1 242
Included observations: 242
Convergence achieved after 189 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1) + C(5)*GARCH(-2)

Variable Coefficient Std. Error z-Statistic Prob.

C 1234.540 3.209046 384.7062 0.0000

Variance Equation

C 512.3530 171.0733 2.994933 0.0027

RESID(-1)^2 1.083762 0.324576 3.339005 0.0008
GARCH(-1) -0.124589 0.121249 -1.027548 0.3042
GARCH(-2) 0.012416 0.155575 0.079808 0.9364

R-squared -0.001255 Mean dependent var 1239.698

Adjusted R-squared -0.001255 S.D. dependent var 145.9223
S.E. of regression 146.0138 Akaike info criterion 11.83688
Sum squared resid 5138125. Schwarz criterion 11.90896
Log likelihood -1427.262 Hannan-Quinn criter. 11.86592
Durbin-Watson stat 0.026767

EGARCH Method

Dependent Variable: NEEL_KAMAL_ADJ_CLOSE

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/07/19 Time: 18:11
Sample: 1 242
Included observations: 242
Convergence achieved after 70 iterations
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)
*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))

Variable Coefficient Std. Error z-Statistic Prob.

C 1242.180 1.643520 755.8049 0.0000

Variance Equation
 C(2) 0.720849 0.616818 1.168658 0.2425
C(3) 1.720590 0.524831 3.278369 0.0010
C(4) -0.022336 0.297580 -0.075058 0.9402
C(5) 0.743393 0.101586 7.317900 0.0000

R-squared -0.000291 Mean dependent var 1239.698

Adjusted R-squared -0.000291 S.D. dependent var 145.9223
S.E. of regression 145.9435 Akaike info criterion 11.90792
Sum squared resid 5133178. Schwarz criterion 11.98001
Log likelihood -1435.858 Hannan-Quinn criter. 11.93696
Durbin-Watson stat 0.026792

Residual Graph
Unit Run Test Titan

Null Hypothesis: D(TITAN_ADJ_CLOSE) has a unit root

Exogenous: Constant
Lag Length: 0 (Automatic - based on SIC, maxlag=14)

t-Statistic Prob.*

Augmented Dickey-Fuller test statistic -14.40757 0.0000

Test critical values: 1% level -3.457515
5% level -2.873390
10% level -2.573160

*MacKinnon (1996) one-sided p-values.

Augmented Dickey-Fuller Test Equation

Dependent Variable: D(TITAN_ADJ_CLOSE,2)
Method: Least Squares
Date: 12/07/19 Time: 18:15
Sample (adjusted): 3 242
Included observations: 240 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

D(TITAN_ADJ_CLOSE(-1)) -0.932054 0.064692 -14.40757 0.0000

C 1.046031 1.401377 0.746430 0.4561

R-squared 0.465862 Mean dependent var -0.014316

Adjusted R-squared 0.463618 S.D. dependent var 29.60220
S.E. of regression 21.68009 Akaike info criterion 8.998964
Sum squared resid 111866.2 Schwarz criterion 9.027969
Log likelihood -1077.876 Hannan-Quinn criter. 9.010651
F-statistic 207.5781 Durbin-Watson stat 1.994409
Prob(F-statistic) 0.000000

Least Square Test

Dependent Variable: TITAN_ADJ_CLOSE

Method: Least Squares
Date: 12/07/19 Time: 18:19
Sample: 1 242
Included observations: 242
 Variable Coefficient Std. Error t-Statistic Prob.

C 1119.360 7.592540 147.4290 0.0000

R-squared 0.000000 Mean dependent var 1119.360

Adjusted R-squared 0.000000 S.D. dependent var 118.1122
S.E. of regression 118.1122 Akaike info criterion 12.38527
Sum squared resid 3362068. Schwarz criterion 12.39969
Log likelihood -1497.618 Hannan-Quinn criter. 12.39108
Durbin-Watson stat 0.033536

Heteroskedasticity Test ARCH

Heteroskedasticity Test: ARCH

F-statistic 2478.889 Prob. F(1,239) 0.0000

Obs*R-squared 219.8074 Prob. Chi-Square(1) 0.0000

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 12/07/19 Time: 18:20
Sample (adjusted): 2 242
Included observations: 241 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C 546.7446 395.7650 1.381488 0.1684

RESID^2(-1) 0.948631 0.019053 49.78844 0.0000

R-squared 0.912064 Mean dependent var 13769.60

Adjusted R-squared 0.911696 S.D. dependent var 15328.95
S.E. of regression 4555.143 Akaike info criterion 19.69417
Sum squared resid 4.96E+09 Schwarz criterion 19.72309
Log likelihood -2371.147 Hannan-Quinn criter. 19.70582
F-statistic 2478.889 Durbin-Watson stat 1.845186
Prob(F-statistic) 0.000000

ARCH Method

Dependent Variable: TITAN_ADJ_CLOSE

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/07/19 Time: 18:23
Sample: 1 242
Included observations: 242
Convergence achieved after 25 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Variable Coefficient Std. Error z-Statistic Prob.

C 1098.269 7.619554 144.1382 0.0000

Variance Equation

C 8663.850 1726.784 5.017332 0.0000

RESID(-1)^2 1.086456 0.278786 3.897092 0.0001
GARCH(-1) -0.815174 0.043072 -18.92585 0.0000

R-squared -0.032020 Mean dependent var 1119.360

Adjusted R-squared -0.032020 S.D. dependent var 118.1122
S.E. of regression 119.9883 Akaike info criterion 11.85229
Sum squared resid 3469723. Schwarz criterion 11.90996
Log likelihood -1430.127 Hannan-Quinn criter. 11.87552
Durbin-Watson stat 0.032495

GARCH Method

Dependent Variable: TITAN_ADJ_CLOSE

Method: ML – ARCH (Marquardt) – Normal distribution
Date: 12/07/19 Time: 18:25
Sample: 1 242
Included observations: 242
Failure to improve Likelihood after 34 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1) + C(5)*GARCH(-2)

Variable Coefficient Std. Error z-Statistic Prob.

C 1097.030 1.641937 668.1318 0.0000

Variance Equation

C 168.9414 57.47492 2.939394 0.0033

RESID(-1)^2 0.999697 0.219187 4.560921 0.0000
GARCH(-1) -0.119161 0.043297 -2.752171 0.0059
GARCH(-2) 0.100333 0.051352 1.953831 0.0507

R-squared -0.035892 Mean dependent var 1119.360

Adjusted R-squared -0.035892 S.D. dependent var 118.1122
S.E. of regression 120.2132 Akaike info criterion 11.30262
Sum squared resid 3482740. Schwarz criterion 11.37471
Log likelihood -1362.618 Hannan-Quinn criter. 11.33166
Durbin-Watson stat 0.032374
EGARCH Method

Dependent Variable: TITAN_ADJ_CLOSE

Method: ML - ARCH (Marquardt) - Normal distribution
Date: 12/07/19 Time: 18:30
Sample: 1 242
Included observations: 242
Convergence achieved after 58 iterations
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)
*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))

Variable Coefficient Std. Error z-Statistic Prob.

C 1098.009 1.144069 959.7400 0.0000

Variance Equation

C(2) -0.092893 0.399091 -0.232761 0.8159

C(3) 1.521140 0.453547 3.353878 0.0008
C(4) 0.089612 0.198413 0.451645 0.6515
C(5) 0.843854 0.073949 11.41123 0.0000

R-squared -0.032814 Mean dependent var 1119.360

Adjusted R-squared -0.032814 S.D. dependent var 118.1122
S.E. of regression 120.0344 Akaike info criterion 11.33363
Sum squared resid 3472392. Schwarz criterion 11.40571
Log likelihood -1366.369 Hannan-Quinn criter. 11.36267
Durbin-Watson stat 0.032470

Residual Graph