Forecasting Exchange Rate of Pakistan Using Time Series Analysis

Table 8

Estimation of ARCH model for USD/PKR series.

Variable	Coefficient	Std. Error	Z-statistic	Probability
Mean equation
C	0.035321	0.014839	2.380313	0.0173
AR (1)	−0.266454	0.128966	−2.066075	0.0388
MA (1)	0.059652	0.125105	0.476818	0.6335
Variance equation
E	0.440444	0.004285	102.7761	0.0000
ARCH (1)	0.406723	0.40277	10.09826	0.0000
R-squared	0.050459		Mean dependent var	0.035998
Adjusted R-squared	0.048887		SD-dependent var	0.810083
S.E. of regression	0.790034		Akaike information criteria (AIC)	2.185650
Sum squared residual	753.9771		Schwartz criterion	2.206704
Log-likelihood	−1318.411		Durbin−Watson stat	2.193577