ARIMA-GARCH

APARCH (1, 1) - N

APARCH (1, 1) - skewed t

Based on the ARIMA model

Based on the ARIMA model

ar1

−0.375

0.367***

0.367***

ma1

0.431

−0.951***

−0.951***

omega

0.012***

0.022***

0.006*

${\alpha }_1$

0.161***

0.174***

0.138***

${\beta }_1$

0.794***

0.797***

0.883***

${\gamma }_1$

-

0.08

0.122

$\delta$

-

1.385***

1.302***

Skew

-

-

0.925***

Shape

-

-

4.196***