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