Panel A: GARCH(1, 1) estimations

Parameters

FENY

FXN

IEO

IXC

IYE

NANR

OIH

VDE

XLE

µ

−0.047

0.015

0.033

0.015

0.019

0.010

0.019

0.013

0.018

ω

0.015

0.019*

0.023*

0.013*

0.017*

−0.005

0.007

0.016*

0.014*

α

0.082*

0.074*

0.075*

0.071*

0.074*

0.010

0.049*

0.070*

0.066*

β

0.909*

0.923*

0.919*

0.922*

0.918*

0.991*

0.949*

0.923*

0.927*

b3

−0.397*

−0.540*

−0.455*

−0.713*

−0.612*

−0.096*

−0.395*

−0.545*

0.479*

b4

4.590*

3.316*

2.726*

4.553*

3.472*

3.868*

2.865*

2.038*

1.794*

Q(20)

13.347

21.686

20.569

15.771

21.936

11.650

19.381

19.848

21.204

Q2(20)

13.364

36.337

29.700

26.797

16.008

14.693

10.128

10.291

11.507

Panel B: IGARCH(1, 1) estimations

Parameters

FENY

FXN

IEO

IXC

IYE

NANR

OIH

VDE

XLE

µ

−0.048

0.014

0.033

0.014

0.022

0.009

0.101

0.058

0.119

ω

0.012*

0.017*

0.018*

0.010*

0.012*

−0.005*

0.184*

1.071*

1.146*

β

0.911*

0.924*

0.919*

0.924*

0.920*

0.989*

0.634*

0.020*

0.081*

d

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

b3

−0.433*

−0.542*

−0.461*

−0.725*

−0.617*

−0.117*

0.064*

−0.664*

1.018*

b4

4.676*

3.363*

2.766*

4.622*

3.569*

3.863*

2.752*

2.662*

4.687*

Q(20)

13.054

21.622

20.304

15.697

21.695

11.474

15.700

21.394

28.173

Q2(20)

13.093

35.714

29.500

25.720

15.452

14.623

13.457

12.273

60.278

Panel C: FIGARCH(1, 1) estimations

Parameters

FENY

FXN

IEO

IXC

IYE

NANR

OIH

VDE

XLE

µ

−0.002*

0.015

0.030

0.013

0.021

0.002

0.035

0.054

0.080

ω

0.020*

0.040

0.023*

0.017*

0.015*

−0.018

−0.274*

−0.309

−0.130

β

0.507*

0.524*

0.896*

0.870*

0.901*

0.338*

0.017

0.116

0.015

d

0.484*

0.575*

0.950*

0.899*

0.962*

0.341*

0.103*

0.134*

0.115

b3

−0.519*

−0.613*

−0.473*

−0.721*

−0.624*

−0.242*

−0.263*

−0.629*

0.697

b4

5.299*

3.878*

2.810*

4.639*

3.640*

3.297*

2.707*

1.786*

2.399

Q(20)

13.231

22.633

19.761

14.784

21.376

10.468

20.817

23.704

26.763

Q2(20)

11.424

31.403

28.798

21.429

15.818

19.793

13.914

12.146

22.960