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| ARIFMA |
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| ARIFMA-FIGARCH |
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| Normal-distribution | t-distribution | Skew-t-distribution | |||||||
| Estimate | Std. Error | Pr(>|t|) | Coefficient | Std. Error | t-prob | Coefficient | Std. Error | t-prob | Coefficient | Std. Error | t-prob | |
| Cst (M) | 0.000409 | 0.00013 | 0.00164 | 0.001172 | 0.000662 | 0.077 | 0.00139 | 0.000657 | 0.0345 | 0.001048 | 0.000608 | 0.0852 |
| d-ARFIMA | 0.078055 | 0.002109 | 0 | 0.094161 | 0.10104 | 0.3515 | 0.109094 | 0.082755 | 0.1876 | 0.105559 | 0.081454 | 0.1952 |
| AR (1) | −0.40519 | 0.000015 | 0 | −0.2542 | 0.29669 | 0.3917 | −0.56569 | 0.11457 | 0 | −0.56841 | 0.10107 | 0 |
| AR (2) | −0.02735 | 0.000107 | 0 | 0.017944 | 0.41575 | 0.9656 | 0.021383 | 0.13479 | 0.874 | 0.018171 | 0.1186 | 0.8782 |
| AR (3) | 0.794115 | 0.000022 | 0 | 0.510347 | 0.12229 | 0 | 0.606645 | 0.07731 | 0 | 0.605938 | 0.068203 | 0 |
| MA (1) | 0.367821 | 0.000006 | 0 | 0.216443 | 0.24508 | 0.3773 | 0.494502 | 0.13606 | 0.0003 | 0.490968 | 0.11316 | 0 |
| MA (2) | 0 | NA | NA | −0.06108 | 0.43913 | 0.8894 | −0.11761 | 0.15489 | 0.4478 | −0.12551 | 0.12727 | 0.3242 |
| MA (3) | −0.84797 | 0.000028 | 0 | −0.59612 | 0.12174 | 0 | −0.70208 | 0.090291 | 0 | −0.70999 | 0.073906 | 0 |
| Cst (V) × 10^4 | 0.017426 | 0.000266 |
| 0.052851 | 0.032601 | 0.1052 | 0.060724 | 0.031386 | 0.0532 | 0.052248 | 0.029316 | 0.0749 |
| d-FIGARCH |
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| 0 | 0.585817 | 0.097426 | 0 | 0.63608 | 0.098773 | 0 | 0.638022 | 0.10027 | 0 |
| ARCH (Phi1) |
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| 0.128689 | 0.083442 | 0.1232 | 0.037206 | 0.07049 | 0.5977 | 0.048152 | 0.067901 | 0.4783 |
| GARCH (Beta1) |
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| 0.619694 | 0.094622 | 0 | 0.640676 | 0.086011 | 0 | 0.654676 | 0.08613 | 0 |
| Asymmetry |
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| 6.413076 | 1.0159 | 0 | −0.07342 | 0.041358 | 0.0761 |
| Tail |
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| 6.586427 | 1.1008 | 0 |
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| LogLikelihood: | 4062.559 |
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| 4304.93 |
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| 4342.68 |
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| 4344.52 |
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| Akaike | −5.252 |
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| −5.5608 |
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| −5.6084 |
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| −5.6095 |
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| Bayes | −5.2243 |
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| −5.5193 |
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| −5.5634 |
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| −5.561 |
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| Shibata | −5.2521 |
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| −5.5609 |
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| −5.6085 |
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| −5.6096 |
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| Hannan-Quinn | −5.2417 |
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| −5.5454 |
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| −5.5917 |
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| −5.5915 |
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| Q (17) | 17.073 | 0 |
| 18.3381 | [0.0740597] | 18.6855 | [0.0669781] | 21.6522 | [0.0272100]* | |||
| Q (29) | 27.415 | 0.000199 |
| 29.5385 | [0.1631126] | 31.3606 | [0.1141884] | 34.2888 | [0.0610958] | |||
| Q2 (17) | 40.64 | 1.74E−11 |
| 9.42186 | [0.8544478] | 10.2917 | [0.8010006] | 11.0168 | [0.7514060] | |||
| Q2 (29) | 87.53 | 0.00E+00 |
| 17.992 | [0.9037653] | 18.9185 | [0.8729523] | 19.7939 | [0.8392921] | |||
| ARCH LM Tests |
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| ARCH Lag [2] | 56.49 | 5.42E−13 |
| 0.39555 | [0.6734] |
| 1.1998 | [0.3015] |
| 1.3742 | [0.2533] |
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| ARCH Lag [5] | 98.88 | 0.00E+00 |
| 0.98536 | [0.4253] |
| 1.1352 | [0.3396] |
| 1.2246 | [0.2950] |
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| ARCH Lag [10] | 135.26 | 0.00E+00 |
| 0.65285 | [0.7688] |
| 0.78473 | [0.6437] |
| 0.85507 | [0.5754] |
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