Long Memory | GARCH_1 | GARCH_2 | SV_1 | SV_2 |
MVR |
|
|
|
|
100 | 0.128 | 0.134 | 0.151 | 0.161 |
500 | 0.654 | 0.685 | 0.407 | 0.398 |
1000 | 0.948 | 0.951 | 0.936 | 0.957 |
AVR |
|
|
|
|
100 | 0.137 | 0.144 | 0.127 | 0.145 |
500 | 0.563 | 0.555 | 0.569 | 0.588 |
1000 | 0.888 | 0.889 | 0.885 | 0.897 |
MVR* |
|
|
|
|
100 | 0.159 | 0.167 | 0.166 | 0.166 |
500 | 0.750 | 0.732 | 0.742 | 0.722 |
1000 | 0.950 | 0.963 | 0.956 | 0.963 |
AVR* |
|
|
|
|
100 | 0.257 | 0.272 | 0.285 | 0.288 |
500 | 0.748 | 0.755 | 0.731 | 0.750 |
1000 | 0.952 | 0.951 | 0.957 | 0.945 |