NSE20

S&P500

Parameter

GARCH

GJR

GARCH

GJR

0.18915 (0.024496)

0.18136 (0.02424)

0.16451 (0.023785)

0.16245 (0.02352)

0.11388 (0.023413)

0.11516 (0.02308)

0.03549 (0.006902)

0.03458 (0.00647)

0.006577 (0.001645)

0.01088 (0.00204)

0.15023 (0.017978)

0.18578 (0.02528)

0.056461 (0.0067528)

0.00322 (0.00512)

0.78763 (0.024753)

0.79045 (0.02373)

0.937566 (0.0074845)

0.93202 (0.0079)

−0.07332 (0.02592)

0.10558 (0.0123)

9.3468 (0.2287)

8.8337 (0.2648)

16.5309 (0.08541)

15.2862 (0.1220)

7.1689 (0.5739)

8.46159 (0.38973)

6.8918 (0.54835)

5.9298 (0.6551)

lgl

−8363.5

−8367.7

−15090.9

−15090.9

n

2316

2316

4549

4549