A Study of the Effect of Inflation and Exchange Rate on Stock Market Returns in Ghana

Table 6

R output for ARFIMA results.

(a) Returns

	Estimate	Std. error	value	Pr(>
H	0.95008698	0.09652219	9.84320
AR	0.67345045	0.08513683	7.91021
MA	0.29096113	0.04087322	7.11863
<==> d

(b) Exchange rate

	Estimate	Std. error	value	Pr(>)
H	0.47319146	0.19269526	2.45565	0.014063
AR	0.95114946	0.05114190	18.59824
MA	0.03672574	0.16671603	0.22029	0.825646
<==> d

(c) Inflation

	Estimate	Std. error	value	Pr(>)
H	0.9390391	0.3974410	2.36271	0.018142
AR	0.8831309	0.1509314	5.85121
MA	–0.1793681	0.2727286	−0.65768	0.510744
<==> d