Sample | Model | Days of Failure | Failure rate | DLC | |
t-distribution | 360001 | ARMA (3, 3)-EGARCH (2, 1) | 70 | 0.0335 | 0.0217 |
110022 | ARMA (0, 2)-TGARCH (1, 2) | 46 | 0.022 | 0.0318 | |
161812 | ARMA (1, 1)-EARCH (1, 2) | 979 | 0.4686 | 0.0086 | |
180003 | ARMA (3, 3)-GARCH-M (1, 2) | 1028 | 0.4921 | 0.0094 | |
217016 | ARMA (3, 3)-GARCH (1, 1) | 974 | 0.4663 | 0.0120 | |
GED | 360001 | ARMA (3, 3)-GARCH (2, 1) | 117 | 0.056 | 0.0028 |
110022 | ARMA (0, 2)-TGARCH (1, 2) | 78 | 0.0374 | 0.0105 | |
161812 | ARMA (1, 1)-GARCH-M (1, 2) | 979 | 0.4686 | 0.0120 | |
180003 | ARMA (3, 3)-GARCH (1, 2) | 132 | 0.0632 | 0.0019 | |
217016 | ARMA (3, 3)-GARCH (1, 1) | 974 | 0.4663 | 0.0119 |