Generalized Autoregressive Conditional Heteroskedastic Model to Examine Silver Price Volatility and Its Macroeconomic Determinant in Ethiopia Market

Table 7

ML parameter estimates of the ARMA (1, 3)-EGARCH (3, 2) volatility model under the normal distributional assumption of the residual for price return series of silver.

Parameter	Variables	Coefficients	Std. error	Statistic	value
Mean equation	Constant	−0.000686	0.005747	−0.119411	0.9049
	AR(1)	−0.423396	0.195479	−2.165938	0.0303
	MA(1)	0.675648	0.154133	4.383531	0.0000
	MA(2)	0.374537	0.028299	13.23510	0.0000
	MA(3)	0.211123	0.031042	6.801143	0.0000
Variance equation	Constant	−13.35269	0.648682	−20.58433	0.0000
	ARCH(−1)	1.021688	0.239459	4.266642	0.0000
	ARCH(−2)	0.959286	0.164583	5.828567	0.0000
	ARCH(−3)	1.205999	0.260989	4.620888	0.0000
	Asymmetric(−1)	0.545054	0.182957	2.979136	0.0029
	EGARCH(−1)	−0.432781	0.016068	−26.93501	0.0000
	EGARCH(−2)	−0.878201	0.030126	−29.15064	0.0000
	General inflation rate	−0.774831	0.046881	−16.52760	0.0000
	Saving interest rate	−0.791274	0.298948	−2.646862	0.0081
	Exchange rate	0.422090	0.225022	1.875771	0.0607
	Price of crude oil	0.024219	0.013810	1.753759	0.0795

Significant at 1% level and 5% level.