The Volatility of the Index of Shanghai Stock Market Research Based on ARCH and Its Extended Forms

Table 6

	Coefficient	Std. Error	$z$-Statistic	Prob.
@SQRT(GARCH)	$0.083511$	$0.052562$	$1.588815$	$0.1121$
$C$	$-0.000625$	$0.000701$	$-0.891278$	$0.3728$
AR(1)	$-0.199086$	$0.351060$	$-0.567099$	$0.5706$
AR(2)	$0.124659$	$0.050907$	$2.448740$	$0.0143$
AR(3)	$0.174735$	$0.062016$	$2.817584$	$0.0048$
AR(4)	$-0.785433$	$0.052558$	$-14.94409$	$0.0000$
AR(5)	$-0.199962$	$0.293003$	$-0.682457$	$0.4949$
AR(6)	$-0.046151$	$0.023580$	$-1.957159$	$0.0503$
MA(1)	$0.216611$	$0.349176$	$0.620347$	$0.5350$
MA(2)	$-0.146851$	$0.043255$	$-3.394974$	$0.0007$
MA(3)	$-0.159767$	$0.056709$	$-2.817310$	$0.0048$
MA(4)	$0.815284$	$0.052174$	$15.62612$	$0.0000$
MA(5)	$0.231638$	$0.299560$	$0.773261$	$0.4394$
	Variance equation
$C$	$3.97E\text{–}06$	$7.56E\text{–}07$	$5.251923$	$0.0000$
RESID ${(-1)}^2$	$0.114202$	$0.009615$	$11.87704$	$0.0000$
GARCH ($-1$)	$0.879996$	$0.009193$	$95.72147$	$0.0000$