Discrete Dynamics in Nature and Society

Research Article

How Energy Sector Reacted to COVID-19 Pandemic? Empirical Evidence from an Emerging Market Economy

Table 7

The outcomes of the GARCH (1, 1) model.


Dependent variable: BET-NG					Dependent variable: SNG
Variable	Coefficient	Std. error	z-statistic	Prob.	Variable	Coefficient	Std. error	z-statistic	Prob.

C	0.000512	0.000777	0.658956	0.5099	C	0.002226	0.000964	2.30789	0.021
Variance equation					Variance equation
C	4.21E − 05	4.80E − 05	0.876802	0.3806	C	9.67E − 05	0.000181	0.533331	0.5938
RESID (−1)²	−0.07493	0.068867	−1.088046	0.2766	RESID (−1)²	−0.04884	0.072398	−0.674602	0.4999
GARCH (−1)	0.656334	0.456352	1.43822	0.1504	GARCH (−1)	0.542073	0.916932	0.591181	0.5544
T-DIST. DOF	5.061521	3.142783	1.610522	0.1073	T-DIST. DOF	3.452623	1.250747	2.760448	0.0058
ARCH + GARCH	0.581404				ARCH + GARCH	0.493233
R-squared	−0.001889	Mean dependent var		8.42E − 05	R-squared	−0.006586	Mean dependent var		0.001153
Adjusted R-squared	−0.001889	S.D. dependent var		0.009884	Adjusted R-squared	−0.006586	S.D. dependent var		0.013269
S.E. of regression	0.009894	Akaike info criterion		−6.409628	S.E. of regression	0.013313	Akaike info criterion		−5.904976
Sum squared resid	0.01204	Schwarz criterion		−6.295907	Sum squared resid	0.0218	Schwarz criterion		−5.791255
Log likelihood	402.3969	Hannan–Quinn criterion.		−6.363432	Log likelihood	371.1085	Hannan–Quinn criterion.		−5.85878
Durbin-Watson stat	1.988924				Durbin-Watson stat	1.7568

Dependent variable: EL					Dependent variable: TGN
Variable	Coefficient	Std. error	z-statistic	Prob.	Variable	Coefficient	Std. error	z-statistic	Prob.
C	−8.80E − 06	0.000686	−0.012818	0.9898	C	−0.001581	0.000705	−2.242621	0.0249
Variance equation					Variance equation
C	0.000349	0.008276	0.042186	0.9664	C	6.14E − 06	5.86E − 06	1.048826	0.2943
RESID (−1)²	−1.784395	42.03255	−0.042453	0.9661	RESID (−1)²	0.075788	0.074665	1.015035	0.3101
GARCH (−1)	0.987717	0.018899	52.26289	0	GARCH (−1)	0.874339	0.102292	8.547464	0
T-DIST. DOF	2.024389	0.58422	3.465116	0.0005	T-DIST. DOF	4.349566	2.444385	1.779412	0.0752
ARCH + GARCH	−0.796678				ARCH + GARCH	0.950127
R-squared	−0.025806	Mean dependent var		−0.001991	R-squared	−0.004356	Mean dependent var		−0.002206
Adjusted R-squared	−0.025806	S.D. dependent var		0.012388	Adjusted R-squared	−0.004356	S.D. dependent var		0.009498
S.E. of regression	0.012547	Akaike info criterion		−6.171115	S.E. of regression	0.009519	Akaike info criterion		−6.559459
Sum squared resid	0.019363	Schwarz criterion		−6.057394	Sum squared resid	0.011145	Schwarz criterion		−6.445738
Log likelihood	387.6091	Hannan–Quinn criterion.		−6.124919	Log likelihood	411.6864	Hannan–Quinn criterion.		−6.513262
Durbin–Watson stat	1.93045				Durbin–Watson stat	2.091561

Dependent variable: TEL					Dependent variable: EEX-B
Variable	Coefficient	Std. error	z-statistic	Prob.	Variable	Coefficient	Std. error	z-statistic	Prob.
C	−0.000856	0.000926	−0.924074	0.3554	C	0.006158	0.010772	0.571666	0.5675
Variance equation					Variance equation
C	5.27E − 06	1.80E − 06	2.936929	0.0033	C	0.006022	0.014758	0.408033	0.6832
RESID (−1)²	−0.05078	0.016305	−3.114411	0.0018	RESID (−1)²	1.51924	4.01251	0.378626	0.705
GARCH (−1)	1.040512	0.01393	74.69655	0	GARCH (−1)	0.67125	0.110199	6.091232	0
T-DIST. DOF	5.767578	3.219184	1.791627	0.0732	T-DIST. DOF	2.200545	0.599848	3.668503	0.0002
ARCH + GARCH	0.989732				ARCH + GARCH	2.19049
R-squared	−0.000593	Mean dependent var		−0.001222	R-squared	−0.000556	Mean dependent var		0.012439
Adjusted R-squared	−0.000593	S.D. dependent var		0.015068	Adjusted R-squared	−0.000556	S.D. dependent var		0.267469
S.E. of regression	0.015073	Akaike info criterion		−5.758566	S.E. of regression	0.267543	Akaike info criterion		−0.16669
Sum squared resid	0.027944	Schwarz criterion		−5.644845	Sum squared resid	8.804247	Schwarz criterion		−0.052969
Log likelihood	362.0311	Hannan–Quinn criterion.		−5.71237	Log likelihood	15.3348	Hannan–Quinn criterion.		−0.120494
Durbin-Watson stat	1.930154				Durbin-Watson stat	2.342452

Dependent variable: EEX-P					Dependent variable: APX
Variable	Coefficient	Std. error	z-statistic	Prob.	Variable	Coefficient	Std. error	z-statistic	Prob.
C	0.005919	0.011652	0.507994	0.6115	C	0.006374	0.010206	0.624526	0.5323
Variance equation					Variance equation
C	4.01294	5739.496	0.000699	0.9994	C	0.011582	0.045943	0.252091	0.801
RESID (−1)²	492.9499	705091.9	0.000699	0.9994	RESID (−1)²	0.641769	2.500938	0.256611	0.7975
GARCH (−1)	0.758657	0.086541	8.766479	0	GARCH (−1)	0.787782	0.11503	6.848478	0
T-DIST. DOF	2.000299	0.427798	4.675804	0	T-DIST. DOF	2.148645	0.643148	3.340823	0.0008
ARCH + GARCH	493.708557				ARCH + GARCH	1.429551
R-squared	−0.000496	Mean dependent var		0.013354	R-squared	−0.001009	Mean dependent var		0.012429
Adjusted R-squared	−0.000496	S.D. dependent var		0.335083	Adjusted R-squared	−0.001009	S.D. dependent var		0.191365
S.E. of regression	0.335166	Akaike info criterion		0.157424	S.E. of regression	0.191462	Akaike info criterion		−0.736736
Sum squared resid	13.81739	Schwarz criterion		0.271145	Sum squared resid	4.508874	Schwarz criterion		−0.623015
Log likelihood	−4.760306	Hannan–Quinn criterion.		0.20362	Log likelihood	50.67763	Hannan–Quinn criterion.		−0.69054
Durbin–Watson stat	2.542814				Durbin–Watson stat	2.697083

Source: author’s own work. Notes: method: ML ARCH–student’s t distribution (BFGS/Marquardt steps). Sample: 7/01/2021–12/21/2021. Included observations: 124. For the definition of variables, please see Table 2.