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)