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Volatility models and the multivariate links with applications to the economy of Mozambique

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Table 2.1: Descriptive statistics for the data and residuals from mean regression Statistics 2010-2014 2010 2011 2012 2013-2014 Data Mean 0.0236 -0.0544 0.1276 -0.0166 0.0320 ADF z(t) −21.428 [0.0000] −15.259[0.0000] −12.584[0.0000] −11.358[0.0000] −18.137
Table 2.2: Estimates of the asymmetric ARMA-GARCH models
Table 2.3: Diagnostic on estimated GARCH models Period model Ljung-Box Q(15) ARCH-LM(15) Full sample EGARCH 17.103[0.313] 21.993[0.108]
Figure 2.3: News impact curves for 2010
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