AR(7): estimated parameters
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
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 |
$$\mu_1$$
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 |
$$\mu_2$$
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 |
$\sigma_1$
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 |
$\sigma_2$
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 |
$p$
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 |
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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