ARIMA(0,0,1)-EGARCH(1,1)

Parameter

Normal

t-Student

GED

Ω

−0.111(0.000)

−0.122(0.000)

−0.118(0.000)

α1

0.158(0.000)

0.167(0.000)

0.163(0.000)

β1

0.975(0.000)

0.978(0.000)

0.977(0.000)

γ1

−0.088(0.000)

−0.089(0.000)

−0.087(0.000)

T-Dist.Dof

10.128(0.000)

1.546(0.000)

Persistence

0.975

0.978

0.977

LL

−12159.04

−12044.66

−12082.75

Jarque-Bera

2199.27(0.000)

2601.59(0.000)

2397.07(0.000)

ARCH(10)

4.521(0.920)

3.162(0.977)

3.647(0.961)

Q2(30)

12.667(0.998)

13.641(0.995)

12.869(0.997)

ARIMA(0,0,1)-GJR-GARCH(1,1)

Parameter

Normal

t-Student

GED

Ω

0.040(0.000)

0.033(0.000)

0.036(0.000)

α1

0.023(0.000)

0.026(0.000)

0.025(0.000)

β1

0.891(0.000)

0.890(0.000)

0.890(0.000)

γ1

0.127(0.000)

0.131(0.000)

0.128(0.000)

T-Dist.Dof

10.198(0.000)

1.555(0.000)

Persistence

0.9775

0.9815

0.979

LL

−12155.06

−12042.88

−12080.43

Jarque-Bera

2105.14(0.000)

2534.87(0.000)

2308.25(0.000)

ARCH(10)

3.521(0.966)

4.555(0.918)

3.989(0.947)

Q2(30)

12.492(0.998)

15.569(0.986)

13.923(0.995)