Anon

(Dana P.) #1
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

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