table 9.4
Autoregressive Moving Average Models, Akaike Information Criterion (AIC) for the Weekly Sample Returns of CRSP Value-
Weighted Index from January 1998 through October 2012
MA(
q)
AR(
n)
0
1
2
3
4
5
6
7
8
9
10
11
12
0
3772
3771
3771
3770
3770
3769
3769
3768
3769
3767
3769
3770
3771
1
3770
3770
3772
3771
3775
3773
3766
3768
3770
3769
3769
3771
3773
2
3770
3772
3768
3770
3775
3771
3767
3770
3767
3770
3771
3773
3770
3
3771
3772
3769
3771
3770
3774
3768
3771
3769
3771
3777
3774
3771
4
3771
3774
3776
3780
3774
3773
3765
3771
3769
3781
3770
3771
3775
5
3771
3772
3768
3771
3763*
3768
3769
3775
3770
3775
3777
3779
3774
6
3768
3766
3767
3769
3767
3769
3766
3768
3773
3771
3786
3774
3775
7
3765
3767
3768
3770
3767
3773
3768
3767
3783
3773
3772
3778
3776
8
3767
3769
3767
3770
3767
3768
3769
3791
3770
3778
3775
3776
3786
9
3768
3770
3770
3771
3771
3782
3776
3786
3773
3778
3774
3776
3796
10
3770
3772
3769
3773
3771
3771
3770
3775
3770
3769
3774
3780
3772
11
3771
3772
3773
3775
3778
3773
3779
3778
3779
3779
3776
3781
3778
12
3772
3774
3771
3772
3777
3779
3778
3778
3780
3798
3788
3784
3776
A model is selected based on the calculated minimum AIC.*Denotes minimum values.
182