Sample

360001

110022

161812

180003

217016

Mean-variance equation

ARMA (3, 3)- GARCH (2, 1)-GED

ARMA (0, 2)- TGARCH (1, 2)-GED

ARMA (1, 1)- EARCH (1, 2)-t

ARMA (3, 3)- GARCH (1, 2)-GED

ARMA (3, 3)- GARCH (1, 1)-GED

−0.6524

-

−0.8660

−0.6803

−0.6731

−0.8300

-

-

−0.8395

−0.8023

−0.8584

_

-

−0.8036

−0.8388

0.6751

0.4481

0.9149

0.6771

0.6962

0.7535

−0.0930

-

0.7893

0.7654

0.8758

-

-

0.8005

0.8848

1.14E−06

7.19E−06

−0.2436

8.66E−14

2.16E−11

0.0332

−0.0317

−0.0165

−0.0266

0.0529

-

0.0903

0.1539

0.0957

-

1.2951

0.8747

0.9859

0.9281

0.9397

−0.3340

-

-

-

-

-

0.0628

−0.0371

-

-