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 | - | - |