table 9.6
Autoregressive Moving Average Models, Akaike Information Criterion (AIC) for the Weekly Sample Returns of S&P 500
Index from January 1998 through December 2012MA(q)AR(n)01234567891011120−^3378−^3391−^3389−^3387−^3387−^3386−^3384−^3384−^3383−^3382−^3381−^3383−^33811−^3391−^3389−^3387−^3386−^3385−^3383−^3382−^3383−^3381−^3379−^3382−^3382−^33812−^3389−^3387−^3394−^3383−^3383−^3392−^3390−^3385−^3387−^3386−^3384−^3381−^32513−^3388−^3387−3394*−^3394−^3391−^3386−^3389−^3383−^3385−^3385−^3382−^3380−^33704−^3388−^3386−^3394−^3390−^3394−^3388−^3382−^3391−^3387−^3381−^3381−^3375−^33835−^3386−^3384−^3392−^3390−^3394−^3392−^3385−^3147−^3381−^3376−^3384−^3374−^33696−^3384−^3384−^3390−^3389−^3392−^3387−^3386−^3386−^3385−^3127−^3373−^3379−^33717−^3386−^3384−^3389−^3383−^3373−^3383−^3383−^3373−^3371−^3369−^3384−^3307−^33768−^3384−^3382−^3387−^3385−^3374−^3390−^3386−^3383−^3377−^3374−^3378−^3377−^33749−^3382−^3381−^3378−^3380−^3382−^3375−^3373−^3370−^3379−^3369−^3373−^3350−^333310−^3383−^3379−^3377−^3380−^3377−^3371−^3378−^3377−^3382−^3367−^3376−^3354−^337711−^3383−^3383−^3381−^3382−^3376−^3383−^3377−^3380−^3379−^3373−^3309−^3356−^335412−^3381−^3379−^3381−^3379−^3384−^3369−^3377−^3368−^3367−^3373−^3369−^3363−^3358A model is selected based on the calculated minimum AIC. *Denotes minimum values.185