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Panel A: FF5-SSAEPD-EGARCH | |||||||||||||||
US 5 factors | 0.35 | 1.00 | 0.11 | −0.26 | −0.31 | −0.70 | 0.43 | 1.68 | 1.74 | −0.03 | 1.93 | 0.12 | 0.91 | 0.10 | 0.09 |
North American 5 factors | 0.27 | 0.97 | 0.04 | −0.29 | −0.25 | −0.65 | 0.43 | 1.70 | 1.79 | 0.03 | 2.01 | 0.10 | 0.94 | −0.01 | 0.16 |
Global 5 factors | 0.78 | 0.81 | −0.26 | −0.53 | −0.81 | −1.02 | 0.43 | 1.70 | 1.80 | 0.54 | 3.02 | 0.06 | 0.97 | −0.02 | 0.21 |
Panel B: FF5-Normal | |||||||||||||||
US 5 factors | 0.33 | 1.02 | 0.12 | −0.26 | −0.27 | −0.77 | - | - | - | 0 | 1.92 | - | - | - | - |
North American 5 factors | 0.31 | 1.00 | 0.10 | −0.29 | −0.16 | −0.72 | - | - | - | 0 | 1.99 | - | - | - | - |
Global 5 factors | 0.94 | 0.79 | −0.13 | −0.27 | −0.59 | −1.21 | - | - | - | 0 | 2.95 | - | - | - | - |