Variables

IGARCH with Normal Distribution

(1, 1)

(1, 2)

(1, 3)

$\mu$

0.0003

0.0001

0.0003

(0.0002)

(0.0002)

(0.0002)

${\varphi }_1$

0.0908*

0.1123*

0.0879*

(0.0335)

(0.0305)

(0.0326)

${\varphi }_2$

−0.0390

−0.0465

−0.0468

(0.0280)

(0.0298)

(0.0287)

$\alpha$

0.0109

0.0292

0.0140**

(0.0089)

(0.0188)

(0.0069)

${\beta }_1$

0.9890*

−0.0015

1.4322*

(0.0089)

(0.0040)

(0.0109)

${\beta }_2$

0.9722*

−1.4204*

(0.0225)

(0.0233)

${\beta }_3$

0.9741*

(0.0194)

Q1 (5)

16.274*

15.658*

20.861*

Q1 (10)

25.969*

25.727*

32.325*

Q2 (5)

4.963

3.336

9.628**

Q2 (10)

5.545

3.890

11.767

Log Likelihood

8529.451

8582.327

8573.475

F Statistic

2.820***

1.578

4.475**

Probability

0.093

0.209

0.034