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