Solar model

AR(7): estimated parameters
Place $$\alpha_0$$ $$\alpha_1$$ $$\alpha_2$$ $$\alpha_3$$ $$\alpha_4$$ $$\alpha_5$$ $$\alpha_6$$ $$\alpha_7$$
Amsterdam -0.083 0.323 0.095 0.053 0.047 0.022 0.049 0.012
Berlino -0.062 0.378 0.040 0.043 0.030 0.052 0.054 0.048
Bologna 0.064 0.407 0.032 0.041 0.037 0.032 0.061 0.050
Catania 0.193 0.343 0.065 0.057 0.026 0.055 0.020 0.055
Modena 0.061 0.402 0.047 0.033 0.054 0.024 0.061 0.047
Oslo -0.126 0.371 0.110 0.031 0.084 0.043 0.036 0.036
Palermo 0.117 0.360 0.059 0.076 0.026 0.053 0.048 0.063
Parigi -0.034 0.350 0.081 0.035 0.050 0.021 0.024 0.026
Parma 0.063 0.404 0.060 0.026 0.051 0.039 0.046 0.043
Piacenza 0.049 0.424 0.047 0.047 0.046 0.053 0.023 0.051
Ravenna 0.070 0.374 0.075 0.052 0.032 0.015 0.076 0.054
Reggio 0.054 0.407 0.047 0.032 0.058 0.030 0.041 0.043
Rimini 0.056 0.395 0.043 0.060 0.017 0.041 0.055 0.058
Roma 0.145 0.342 0.021 0.075 0.031 0.071 0.028 0.056
GARCH(1,1): estimated parameters
Place $$\omega_0$$ $$\omega_1$$ $$\omega_2$$
Amsterdam 0.011 0.007 0.982
Berlino 0.101 0.041 0.859
Bologna 0.203 0.072 0.725
Catania 0.001 0.000 0.999
Modena 0.142 0.076 0.781
Oslo 0.102 0.049 0.848
Palermo 0.134 0.061 0.804
Parigi 0.004 0.000 0.996
Parma 0.079 0.054 0.866
Piacenza 0.092 0.071 0.837
Ravenna 0.178 0.072 0.749
Reggio 0.192 0.083 0.724
Rimini 0.169 0.057 0.775
Roma 0.106 0.038 0.855
$$\mu_1$$
Place Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Amsterdam 0.586 -1.112 1.093 0.645 0.970 -0.122 -0.303 0.906 1.059 1.325 -0.998 0.476
Berlino 0.584 -0.852 0.410 0.072 -0.818 -0.230 -0.096 0.715 0.583 0.837 -1.275 -0.284
Bologna 0.582 -1.211 -0.192 0.599 0.622 -0.176 -0.040 0.151 0.692 -0.203 -0.528 0.448
Catania 0.389 0.431 0.620 0.590 -0.631 -0.031 0.635 0.607 0.616 0.547 0.392 0.334
Modena -0.382 -0.899 0.666 0.610 0.610 0.016 0.578 0.585 0.610 0.631 -1.006 -0.891
Oslo 0.090 -0.543 0.898 -0.121 -0.204 0.639 0.589 0.575 -0.293 -0.738 -0.857 -0.431
Palermo -0.385 -0.519 0.611 0.792 0.673 -0.208 0.260 -0.267 0.570 0.726 0.483 0.521
Parigi -0.540 0.571 0.928 -0.059 0.828 -0.308 -0.788 0.724 -0.348 1.069 -1.307 -0.995
Parma -0.307 -0.678 0.603 -0.472 0.541 0.117 0.138 0.121 -0.176 0.566 -1.073 0.477
Piacenza -0.366 0.519 0.551 0.621 0.530 0.500 -0.057 0.566 0.011 0.518 -0.853 0.589
Ravenna 0.751 -0.975 0.555 0.641 0.686 0.027 0.020 0.200 0.609 0.515 -0.747 -0.941
Reggio 0.463 -0.305 0.637 0.612 0.641 0.093 0.578 0.205 0.617 -0.445 -1.087 0.504
Rimini -0.194 0.729 -0.314 -0.601 0.778 -0.259 0.039 0.056 0.644 0.578 -0.825 -0.763
Roma -0.915 0.676 -0.379 0.596 0.722 -0.185 0.293 0.227 0.748 0.625 0.512 0.396
$$\mu_2$$
Place Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Amsterdam -0.853 0.502 -0.299 -0.435 -0.392 0.974 0.856 0.046 -0.374 -0.127 0.401 -0.888
Berlino -0.819 0.758 -0.905 0.934 0.557 0.810 0.889 -0.193 -1.189 -0.843 0.230 -0.295
Bologna -0.299 0.415 0.643 -0.363 -0.314 0.536 0.618 0.667 -0.248 0.621 0.589 -0.274
Catania -0.845 -0.555 -0.138 -0.645 0.577 0.716 0.114 0.211 -0.342 -0.579 -0.639 -0.351
Modena 0.583 0.526 -0.266 -0.475 -0.556 0.561 0.019 0.254 -0.293 -0.296 0.604 0.500
Oslo -1.122 1.103 -0.755 0.789 0.699 -0.334 -0.821 -0.965 0.960 0.986 0.517 0.558
Palermo 0.584 0.695 -0.656 -0.275 -0.458 0.667 0.606 0.633 -0.682 -0.485 -0.738 -0.494
Parigi -0.347 -1.110 -0.765 0.988 -0.546 0.798 0.655 -0.311 0.892 -0.141 0.225 0.518
Parma 0.550 0.695 -0.206 0.671 -1.374 0.579 0.597 0.580 0.606 -1.246 0.524 -0.377
Piacenza 0.527 -0.986 -0.111 -0.408 -0.429 0.049 0.629 0.149 0.620 -0.376 0.600 -0.320
Ravenna -0.523 0.614 -0.162 -0.401 -0.340 0.604 0.600 0.580 -0.276 -0.495 0.692 0.499
Reggio -0.870 0.683 -0.332 -0.531 -0.613 0.631 0.000 0.597 -0.527 0.590 0.502 -0.301
Rimini -0.223 -0.911 0.682 0.709 -0.058 0.609 0.568 0.611 -0.213 -0.523 0.631 0.584
Roma 0.501 -0.496 0.741 -0.520 -0.117 0.731 0.709 0.654 -0.211 -0.745 -0.524 -0.626
$\sigma_1$
Place Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Amsterdam 0.672 0.542 0.458 0.748 0.581 1.001 0.899 0.352 0.598 0.475 0.635 0.626
Berlino 0.720 0.670 1.012 0.997 1.069 0.982 0.965 0.626 0.691 0.761 0.560 0.931
Bologna 0.308 0.611 1.190 0.506 0.507 1.243 1.061 0.909 0.463 1.221 1.166 0.323
Catania 0.528 0.507 0.406 0.558 1.396 0.936 0.298 0.263 0.495 0.575 0.583 0.344
Modena 1.007 0.845 0.408 0.520 0.538 1.096 0.316 0.232 0.421 0.507 0.778 0.621
Oslo 0.814 0.912 0.647 1.114 1.243 0.623 0.597 0.721 0.947 0.850 0.747 0.942
Palermo 1.013 1.010 0.593 0.480 0.522 1.119 0.988 1.149 0.644 0.532 0.576 0.454
Parigi 1.089 0.764 0.551 1.016 0.671 1.027 0.663 0.605 1.019 0.428 0.708 0.595
Parma 1.035 0.918 0.402 1.188 0.639 0.955 1.097 1.129 1.205 0.633 0.704 0.369
Piacenza 0.945 0.668 0.348 0.530 0.555 0.396 1.132 0.245 0.982 0.462 0.814 0.441
Ravenna 0.507 0.682 0.372 0.456 0.483 1.123 1.090 1.170 0.414 0.572 0.872 0.544
Reggio 0.580 1.051 0.426 0.505 0.589 0.970 0.323 1.049 0.432 1.293 0.686 0.329
Rimini 1.048 0.609 1.182 1.067 0.438 1.199 1.164 1.026 0.442 0.594 0.834 0.764
Roma 0.884 0.437 1.096 0.485 0.381 1.036 0.794 0.836 0.512 0.565 0.442 0.404
$\sigma_2$
Place Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Amsterdam 0.637 0.786 1.022 0.928 1.072 0.619 0.562 0.994 0.909 1.134 0.866 0.602
Berlino 0.633 0.755 0.869 0.287 0.804 0.610 0.487 0.940 0.677 0.938 0.899 0.925
Bologna 1.010 0.644 0.410 1.193 1.268 0.440 0.329 0.275 1.189 0.428 0.450 1.066
Catania 1.048 1.199 0.973 1.135 0.515 0.438 0.795 0.661 1.248 1.296 1.163 0.914
Modena 0.328 0.640 1.188 1.221 1.273 0.393 1.090 0.958 1.307 1.224 0.628 0.530
Oslo 0.535 0.534 0.729 0.424 0.469 1.059 0.776 0.912 0.553 0.670 0.851 0.305
Palermo 0.467 0.549 1.056 1.048 1.097 0.433 0.263 0.333 1.167 1.172 1.027 0.961
Parigi 0.925 0.650 0.769 0.391 1.029 0.604 0.619 0.990 0.554 1.122 1.023 0.576
Parma 0.271 0.577 1.229 0.516 0.983 0.379 0.302 0.258 0.382 0.777 0.687 1.060
Piacenza 0.357 0.766 1.231 1.243 1.340 1.072 0.325 1.042 0.335 1.393 0.810 0.970
Ravenna 0.844 0.619 1.221 1.148 1.239 0.339 0.268 0.227 1.254 1.310 0.572 0.615
Reggio 0.818 0.471 1.228 1.256 1.248 0.352 1.085 0.239 1.317 0.532 0.667 1.063
Rimini 1.049 0.730 0.457 0.550 1.054 0.454 0.308 0.330 1.230 1.263 0.592 0.605
Roma 0.536 1.002 0.458 1.256 1.076 0.350 0.235 0.238 1.083 1.201 1.069 1.190
$p$
Place Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Amsterdam 0.544 0.619 0.773 0.405 0.631 0.236 0.341 0.830 0.665 0.925 0.585 0.557
Berlino 0.603 0.509 0.337 0.119 0.633 0.354 0.248 0.528 0.256 0.509 0.732 0.986
Bologna 0.862 0.667 0.242 0.644 0.578 0.550 0.466 0.388 0.592 0.236 0.255 0.733
Catania 0.434 0.558 0.756 0.478 0.617 0.477 0.397 0.557 0.540 0.530 0.472 0.549
Modena 0.167 0.529 0.677 0.599 0.444 0.426 0.483 0.565 0.519 0.711 0.488 0.561
Oslo 0.254 0.266 0.474 0.271 0.343 0.545 0.329 0.308 0.341 0.406 0.472 0.121
Palermo 0.199 0.290 0.518 0.663 0.483 0.542 0.537 0.630 0.433 0.624 0.476 0.646
Parigi 0.990 0.399 0.531 0.198 0.587 0.382 0.639 0.481 0.433 0.858 0.743 0.537
Parma 0.099 0.391 0.695 0.410 0.262 0.323 0.431 0.488 0.465 0.364 0.538 0.754
Piacenza 0.166 0.437 0.749 0.593 0.474 0.579 0.489 0.559 0.355 0.685 0.434 0.800
Ravenna 0.768 0.553 0.716 0.585 0.545 0.456 0.509 0.520 0.527 0.589 0.356 0.563
Reggio 0.508 0.200 0.651 0.575 0.456 0.283 0.476 0.458 0.453 0.363 0.549 0.774
Rimini 0.647 0.506 0.315 0.446 0.741 0.564 0.532 0.565 0.579 0.620 0.415 0.465
Roma 0.501 0.644 0.319 0.549 0.733 0.473 0.411 0.529 0.596 0.442 0.625 0.547

Place lambda_dw lambda_up
Amsterdam -2.79% 2.87%
Berlino -2.84% 2.92%
Bologna -0.77% 0.78%
Catania -0.69% 0.69%
Modena -1.21% 1.22%
Oslo -4.6% 4.82%
Palermo 0% 0%
Parigi -1.18% 1.19%
Parma -1.62% 1.65%
Piacenza -1.82% 1.85%
Ravenna -0.48% 0.48%
Reggio -1.65% 1.68%
Rimini -0.91% 0.91%
Roma -0.53% 0.54%
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