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14.1

Copyright 1985-2015 StataCorp LP StataCorp 4905 Lakeway Drive

MP - Parallel Edition

College Station, Texas 77845 USA 800-STATA-PC http://www.stata.com

979-696-4600

979-696-4601 (fax)

stata@stata.com

Single-user 8-core Stata perpetual license:

Serial number: 10699393 Licensed to: saad ihec

Notes:

1. Unicode is supported; see help unicode_advice.

2. Maximum number of variables is set to 5000; see help set_maxvar.

Checking for updates (contacting http://www.stata.com) bad serial number unable to check for update; verify Internet settings are correct.

1 . import excel "D:\ENCADREMENT MDR\base de donnée.xlsx", sheet("Feuil1") firstr > ow

2 . tsset DATE DATE, monthly

Variable DATE had been formatted %td (a daily period), and you asked for a monthly period. Are you sure that is what you want? It has been done; DATE is now formatted %tm.

panel variable: DATE (weakly balanced) time variable: DATE, 3393m3 to 3695m1

delta:

1 month

3 . mgarch dcc (Value = rice wheat maize) sample may not include multiple panels

r(459);

4 . mgarch dcc (Value = rice wheat maize) (Value = rice) sample may not include multiple panels

r(459);

5 . clear

6 . import excel "D:\ENCADREMENT MDR\base de donnée.xlsx", sheet("Feuil1") firstrow

7 . tsset DATE, monthly

Variable DATE had been formatted %td (a daily period), and you asked for a monthly period. Are you sure that is what you want? It has been done; DATE is now formatted %tm.

time variable: DATE, 3393m3 to 3695m1, but with gaps

delta:

1 month

8 . mgarch dcc (Value = rice)

Number of gaps in sample:

119

(note: conditioning reset at each gap)

Calculating starting values

Optimizing log likelihood

(setting technique to bhhh)

Iteration 0:

log likelihood = -866.37474

Iteration 1:

log likelihood = -866.37474 (backed up)

output Saturday June 3 17:37:20 2017

Page 2

Dynamic conditional correlation MGARCH model

Sample: 3393m3 - 3695m1, but with gaps

Number of obs

=

120

Distribution: Gaussian

Wald chi2(1)

=

53.79

Log likelihood = -866.3747

Prob > chi2

=

0.0000

 

Coef.

Std. Err.

z

P>|z|

[95% Conf. Interval]

Value

 

rice

-2.013871

.2745938

-7.33

0.000

-2.552065

-1.475677

_cons

2498.217

136.3604

18.32

0.000

2230.956

2765.479

ARCH_Value

 

_cons

109283.6

14108.45

7.75

0.000

81631.59

136935.7

9 . clear

10 . import excel "D:\ENCADREMENT MDR\base de donnée.xlsx", sheet("Feuil1") firstrow

11 . tsset, clear

12 . tsset DATE, monthly

Variable DATE had been formatted %td (a daily period), and you asked for a monthly period. Are you sure that is what you want? It has been done; DATE is now formatted %tm.

time variable: DATE, 3393m3 to 3695m1, but with gaps

delta:

1 month

13 . mgarch dcc (Value = wheat rice)

Number of gaps in sample:

119

(note: conditioning reset at each gap)

Calculating starting values

Optimizing log likelihood

(setting technique to bhhh)

Iteration 0:

log likelihood = -866.27503

Iteration 1:

log likelihood = -866.27503 (backed up)

Dynamic conditional correlation MGARCH model

Sample: 3393m3 - 3695m1, but with gaps

Number of obs

=

120

Distribution: Gaussian

Wald chi2(2)

=

54.08

Log likelihood = -866.275

Prob > chi2

=

0.0000

 

Coef.

Std. Err.

z

P>|z|

[95% Conf. Interval]

Value

 

wheat

-.2239531

.5013038

-0.45

0.655

-1.20649

.7585842

rice

-1.956801

.3026481

-6.47

0.000

-2.54998

-1.363621

_cons

2529.324

153.0089

16.53

0.000

2229.432

2829.216

ARCH_Value

 

_cons

109102.2

14085.02

7.75

0.000

81496.05

136708.3

output Saturday June 3 17:37:20 2017

Page 3

14 . mgarch dcc (Value = maize barley soybeans sobyeanoil soybeanmeal groundnut groundnut palmoil note: groundnut omitted because of collinearity

Number of gaps in sample:

119

(note: conditioning reset at each gap)

Calculating starting values

Optimizing log likelihood

(setting technique to bhhh)

Iteration 0:

log likelihood = -777.90695

Iteration 1:

log likelihood = -777.90695 (backed up)

Dynamic conditional correlation MGARCH model

Sample: 3393m3 - 3695m1, but with gaps

Number of obs

=

120

Distribution: Gaussian

Wald chi2(13)

=

639.22

Log likelihood = -777.9069

Prob > chi2

=

0.0000

 

Coef.

Std. Err.

z

P>|z|

[95% Conf. Interval]

Value

 

maize

-2.411207

.6683679

-3.61

0.000

-3.721184

-1.10123

barley

2.897425

.6936515

4.18

0.000

1.537893

4.256957

soybeans

-2.015615

.9801477

-2.06

0.040

-3.93667

-.0945612

sobyeanoil

1.041322

.4460498

2.33

0.020

.1670804

1.915564

soybeanmeal

1.98657

.6311009

3.15

0.002

.7496351

3.223505

groundnut

-.0057027

.0864454

-0.07

0.947

-.1751325

.1637271

groundnut

0 (omitted)

palmoil

.3270068

.253688

1.29

0.197

-.1702127

.8242262

sugarus

-981.5411

189.2553

-5.19

0.000

-1352.475

-610.6076

bananesus

261.6355

144.3159

1.81

0.070

-21.21853

544.4895

orange

43.0608

113.6703

0.38

0.705

-179.729

265.8506

meatbeef

274.1174

31.20365

8.78

0.000

212.9593

335.2754

wheat

-3.134798

.6197161

-5.06

0.000

-4.349419

-1.920177

rice

-1.886226

.2218558

-8.50

0.000

-2.321055

-1.451397

_cons

1317.051

200.8084

6.56

0.000

923.4732

1710.628

ARCH_Value

 

_cons

25015.2

3229.445

7.75

0.000

18685.6

31344.79

15 .