ARCH(12)

GARCH(12, 1)

EGARCH(12, 1)

Est

s.e.

p-value

Est

s.e.

p-value

Est.

s.e.

p-value

μ

0.0012

0.0020

0.7053

0.0012

0.0031

0.6933

−0.0068

0.0002

0.0000

ω

0.0007

0.0002

0.0001

0.0007

0.0002

0.0001

−1.1825

0.0172

0.0000

α 1

0.8719

0.2916

0.0029

0.8719

0.0119

0.0001

−0.2028

1.0702

0.8497

α 2

0.0001

0.0000

0.0000

0.0001

0.0000

0.0000

−0.1862

0.9804

0.8494

α 3

0.0001

0.0000

0.0000

0.0001

0.0000

0.0000

−0.0366

0.3328

0.9125

α 4

0.0029

0.0038

0.4469

0.0029

0.0038

0.4468

0.1366

0.9010

0.8795

α 5

0.0001

0.0028

0.9999

0.0001

0.0028

0.9999

−0.6129

1.4908

0.6810

α 6

0.0001

0.0040

0.9999

0.0001

0.0040

0.9999

0.0628

1.1507

0.9565

α 7

0.0001

0.0000

0.0000

0.0001

0.0000

0.0000

0.4518

0.7132

0.5264