AR(1)

0.388^** (0.193)

0.391^** (0.195)

0.393^** (0.192)

AR(2)

−0.616^*** (0.155)

−0.617^*** (0.154)

−0.618^*** (0.152)

AR(3)

−0.378^** (0.162)

−0.375^** (0.164)

−0.373^** (0.162)

MA(1)

−0.367^* (0.199)

−0.370^* (0.066)

−0.372^* (0.198)

MA(2)

0.600^*** (0.164)

0.602^*** (0.163)

0.603^*** (0.161)

MA(3)

0.414^** (0.414)

0.410^** (0.175)

0.409^** (0.018)

ω(10⁻⁴)

0.034 (0.022)

0.023^** (0.010)

0.025^** (0.010)

ARCH()

0.219^*** (0.070)

ARCH(α₁)

0.108^*** (0.020)

0.102^*** (0.018)

GARCH(β₁)

0.697^*** (0.098)

0.898^*** (0.018)

0.898

α₁ + β₁

1.006

1

d

0.597^*** (0.116)

v

4.398^*** (0.374)

4.056^*** (0.397)

4.228^*** (0.347)

Log(ξ)

−0.063^*** (0.024)

−0.062^*** (0.024)

−0.061^*** (0.024)

LL

5811.284

5809.101

5808.879

AIC

−5.808

−5.807

−5.807

SC

−5.774

−5.776

−5.779

HQ

−5.796

−5.796

−5.797

ARCH(10)

0.604 [0.812]

0.581 [0.831]

0.597 [0.817]

Q²(20)

17.29 [0.503]

16.243 [0.576]

16.421 [0.563]

J-B

1048.1^***

1154.4^***

1145.2^***