Model | FF5-SSAEPD-EGARCH | FF5-Normal | FF5-SSAEPD | FF5-GARCH | FF5-SSAEPD-GARCH | FF5-EGARCH |
US 5 factors | 4.16 | 4.19 | 4.90 | 4.14 | 4.14 | 4.18 |
North Ame. 5 factors | 4.30 | 4.27 | 5.06 | 4.22 | 4.22 | 4.31 |
Global 5 factors | 5.09 | 5.05 | 6.59 | 4.91 | 4.91 | 5.12 |