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Table 3 Results of ARMA-GARCH model

From: Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model

Parameter Estimate Std. Error t Value Pr( >|t|)
\({\varvec{\mu}}\) − 0.2960718 0.2892862  − 1.023 0.306
\({\varvec{\theta}}_{1}\) 1.0000000 0.0003844 2601.617  < 2e-16
\({\varvec{\theta}}_{2}\) − 0.0639492 0.0156287 − 4.092 4.28e-05
\({\varvec{\omega}}\) 2.6707021 15.2581437 0.175 0.861
\({\varvec{\alpha}}\) 0.1908938 0.0263213 7.252 4.09e-13
\({\varvec{\beta}}\) 0.8677709 0.0120312 72.127  < 2e-16
\({\varvec{\nu}}\) 2.9467093 0.1538744 19.150  < 2e-16