| DGP | ω (10−6) | f1 | β1 | d | LL | AIC | SC | ARCH(10) |
| d = 0.1 | 5.395 | 0.340 | 0.450 | 0.105 | 19,939.843 | −8.081 | −8.076 | 0.328 [0.974] |
| d = 0.3 | 2.982 | 0.316 | 0.640 | 0.320 | 17,435.686 | −7.066 | −7.061 | 0.385 [0.954] |
| d = 0.5 | 4.829 | 0.233 | 0.682 | 0.434 | 14,366.783 | −5.822 | −5.817 | 0.482 [0.903] |
| d = 0.7 | 2.017 | 0.068 | 0.772 | 0.709 | 14,398.234 | −5.835 | −5.829 | 0.447 [0.924] |