| DGP | ω(10−6) | f1 | β1 | d | LL | AIC | SC | ARCH(10) |
| d = 0.2 | 4.002 | 0.339 | 0.495 | 0.239 | 18,218.543 | −7.383 | −7.378 | 0.549 [0.856] |
| d = 0.4 | 3.924 | 0.223 | 0.491 | 0.368 | 16,101.946 | −6.525 | −6.520 | 0.580 [0.832] |
| d = 0.6 | 4.652 | 0.232 | 0.659 | 0.519 | 12,537.617 | −5.081 | −5.075 | 0.747 [0.680] |
| d = 0.8 | 2.724 | 0.072 | 0.670 | 0.707 | 14,589.883 | −5.912 | −5.907 | 0.414 [0.941] |