| ARCH(12) | GARCH(12, 1) | EGARCH(12, 1) | ||||||
| Est | s.e. | p-value | Est | s.e. | p-value | Est. | s.e. | p-value |
| 0.0012 | 0.0020 | 0.7053 | 0.0012 | 0.0031 | 0.6933 | −0.0068 | 0.0002 | 0.0000 |
| 0.0007 | 0.0002 | 0.0001 | 0.0007 | 0.0002 | 0.0001 | −1.1825 | 0.0172 | 0.0000 |
| 0.8719 | 0.2916 | 0.0029 | 0.8719 | 0.0119 | 0.0001 | −0.2028 | 1.0702 | 0.8497 |
| 0.0001 | 0.0000 | 0.0000 | 0.0001 | 0.0000 | 0.0000 | −0.1862 | 0.9804 | 0.8494 |
| 0.0001 | 0.0000 | 0.0000 | 0.0001 | 0.0000 | 0.0000 | −0.0366 | 0.3328 | 0.9125 |
| 0.0029 | 0.0038 | 0.4469 | 0.0029 | 0.0038 | 0.4468 | 0.1366 | 0.9010 | 0.8795 |
| 0.0001 | 0.0028 | 0.9999 | 0.0001 | 0.0028 | 0.9999 | −0.6129 | 1.4908 | 0.6810 |
| 0.0001 | 0.0040 | 0.9999 | 0.0001 | 0.0040 | 0.9999 | 0.0628 | 1.1507 | 0.9565 |
| 0.0001 | 0.0000 | 0.0000 | 0.0001 | 0.0000 | 0.0000 | 0.4518 | 0.7132 | 0.5264 |