RBA Annual Conference – 2003 Stock Market Volatility and Monetary Policy: What the Historical Record Shows

Table 3: GARCH (1,1) Model with Spline Functions
Australia Canada Denmark France Italy Japan NZ Sweden Switzerland UK US
Stock return (one lag) 0.116
(0.031)		 0.125
(0.034)		 0.131
(0.034)		 0.077
(0.029)		 0.134
(0.031)		 0.125
(0.033)		 0.094
(0.046)		 0.130
(0.032)		 0.133
(0.034)		 0.097
(0.018)		 0.142
(0.022)
Stock return (two lag) −0.027
(0.028)		   0.096
(0.037)		 −0.037
(0.031)		 −0.076
(0.030)		 −0.011
(0.031)		 0.117
(0.043)		 −0.027
(0.030)		 −0.087
(0.036)		 0.020
(0.014)		 −0.004
(0.020)
Stock return (three lag) 0.015
(0.029)		   0.095
(0.037)		 0.069
(0.020)
Constant 0.251
(0.073)		 0.267
(0.134)		 0.055
(0.082)		 0.079
(0.105)		 −0.097
(0.137)		 0.162
(0.157)		 0.108
(0.141)		 0.343
(0.117)		 0.280
(0.123)		 0.014
(0.045)		 0.031
(0.060)
t1 0.005
(0.002)		 0.035
(0.012)		 0.023
(0.002)		 0.052
(0.012)		 0.071
(0.026)		 0.009
(0.004)		 0.015
(0.001)		 0.041
(0.015)		 0.044
(0.057)		 0.004
(0.001)		 0.020
(0.004)
t2 −0.272
(0.066)		 0.030
(0.003)		 0.585
(0.211)		 0.016
(0.004)		 0.090
(0.031)		 0.0011
(0.0005)		 −0.010
(0.003)		 0.460
(0.142)		 0.265
(0.036)		 −0.022
(0.005)		 0.008
(0.003)
t3 −0.120
(0.017)		 0.313
(0.055)		   0.666
(0.237)		 0.016
(0.011)		     0.023
(0.004)		 0.045
(0.005)		 0.039
(0.011)		  
t4                 0.083
(0.029)		 −0.033
(0.018)		  
(t0.5)1 −0.183
(0.067)		 −0.459
(0.218)		 −0.723
(0.065)		 −0.817
(0.286)		 −0.817
(0.478)		 −0.260
(0.104)		 −0.418
(0.033)		 −0.617
(0.256)		 −0.204
(0.603)		 −0.237
(0.041)		 −0.438
(0.105)
(t0.5)2 14.814
(3.677)		 −1.239
(0.134)		 −34.555
(12.359)		 −0.790
(0.202)		 −3.407
(1.073)		     −14.789
(4.568)		 −6.135
(0.853)		 1.604
(0.365)		 −0.478
(0.164)
(t0.5)3 8.511
(1.140)		 −18.601
(3.224)		   −44.386
(15.772)		 −0.777
(0.614)		     −1.082
(0.211)		 −1.842
(0.200)		 −3.734
(1.038)		  
(t0.5)4                 −4.997
(1.711)		 3.840
(1.996)		  
K 1.761)
(0.591)		 3.350
(1.000)		 3.815
(0.494)		 1.423
(1.938)		 1.167
(2.310)		 2.507
(0.728)		 2.687
(0.324)		 2.517
(1.049)		 2.026
(1.438)		 2.935
(0.405)		 0.841
(0.664)
α 0.215
(0.018)		 0.068
(0.034)		 0.089
(0.019)		 0.080
(0.017)		 0.117
(0.026)		 0.152
(0.023)		 0.100
(0.018)		 0.138
(0.030)		 0.127
(0.032)		 0.121
(0.008)		 0.154
(0.016)
β 0.693
(0.019)		 0.181
(0.330)		 0.853
(0.021)		 0.849
(0.038)		 0.809
(0.043)		 0.755
(0.043)		 0.808
(0.035)		 0.736
(0.065)		 0.487
(0.142)		 0.843
(0.008)		 0.761
(0.023)
Test of unit root (χ2) 47.870 5.320 18.400 5.740 6.030 10.310 16.280 7.640 9.590 60.920 34.140

Note: Standard errors in parentheses

Source: Authors' calculations