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Hi,

I am relatively new to eviews and currently finishing my bachelors in Economics.

I want to use an ARCH model alongside an OLS model as it is a financial time series and I believe the variance in the previous period is significant.

I have attached a picture of the estimation output of the ARCH model but I am having difficulty interpreting the output and what everything means. I have performed residual tests and the residuals are not normally distributed, heteroskedastic and serial correlated, even though the residuals in the OLS estimation were fine.

I would really appreciate any help.

Thank you.

H

From the z statistic and p-values you can see the at squared variance of the previous period is not statistically different from zero, however it is significant in determining the variance of this period. Your AIC and Schwarz criterion are quite high which suggests it won't have a good predictive power for out-of-sample estimates (I think).

Hope that helps