표 5 모형 추정결과
| Δyt= | Δhpt | Δspt |
| S=1 | S=2 | S=1 | S=2 |
| 상수항 | −0.008 (0.024) | 0.080 (0.084) | 0.563** (0.278) | 0.036 (0.347) |
| Δyt-1 | 0.541*** (0.060) | 0.608*** (0.073) | 0.272*** (0.087) | 0.365*** (0.022) |
| Δyt-2 | −0.011 (0.069) | 0.230*** (0.087) | −0.152*** (0.055) | −0.058*** (0.021) |
| Δyt-3 | −0.031 (0.067) | −0.298** (0.121) | - | - |
| Δyt-4 | 0.172*** (0.064) | 0.183** (0.079) | - | - |
| σ2 | 0.109*** (0.012) | 1.169*** (0.101) | 9.655*** (2.855) | 53.550*** (8.725) |
| P11 | 0.986*** (0.007) | 0.966*** (0.017) |
| P22 | 0.981*** (0.010) | 0.975*** (0.018) |
p<0.1
p<0.05
p<0.01
주: ( )안은 표준오차임.