GCC COUNTRIES | |||||||
Kuwait | Dubai | Qatar | Saudi | Bahrain | Oman | ||
GARCH (1, 1) | w | 2.47E−06 (0.0000) | 4.16E−06 (0.0000) | 3.15E−06 (0.0000) | 3.60E−06 (0.0000) | 4.68E−06 (0.0000) | 2.40E−06 (0.0000) |
α | 0.156627 (0.0000) | 0.104032 (0.0000) | 0.131418 (0.0000) | 0.147074 (0.0000) | 0.148637 (0.0000) | 0.155814 (0.0000) | |
β | 0.813056 (0.0000) | 0.853152 (0.0000) | 0.841201 (0.0000) | 0.821419 (0.0000) | 0.647571 (0.0000) | 0.749127 (0.0000) | |
α + β | 0.969683 | 0.957184 | 0.972619 | 0.968493 | 0.796208 | 0.904941 | |
| Half-life (days) | 23 | 16 | 25 | 22 | 4 | 8 |
FIGARCH (1, 1) | w | 3.14E−06 (0.0000) | 3.01E−06 (0.0000) | 3.21E−06 (0.0000) | 1.61E−06 (0.0000) | 4.15E−06 (0.0000) | 1.87E−06 (0.0000) |
α | 0.005245 (0.8741) | 0.297341 (0.0000) | 0.156179 (0.0000) | −0.09125 0.154 | 0.771257 (0.0000) | 0.155616 (0.0028) | |
β | 0.658701 (0.0000) | 0.713121 (0.0000) | 0.609766 (0.0000) | 0.901126 (0.0000) | 0.647162 (0.0000) | 0.560132 (0.0000) | |
d | 0.765222 (0.0000) | 0.60103 (0.0000) | 0.615344 (0.0000) | 1.175244 (0.0000) | 0.03101 (0.0360) | 0.603413 (0.0000) |