AR(1)

0.336^*** (0.094)

−0.758^*** (0.138)

−0.759^*** (0.141)

MA(1)

−0.576^*** (0.143)

0.719^*** (0.138)

0.720^*** (0.156)

d_m

0.535^** (0.211)

0.238^*** (0.023)

0.239^*** (0.024)

ω(10⁻⁶)

0.440 (0.167)

0.405 (0.316)

0.418^*** (0.147)

ARCH()

0.208^** (0.091)

ARCH(α₁)

0.126^*** (0.026)

0.120^*** (0.019)

GARCH(β₁)

0.827^*** (0.036)

0.879^*** (0.019)

0.880

α₁ + β₁

1.005

1

d

0.801^*** (0.084)

Log(ξ)

0.019 (0.018)

0.019 (0.017)

0.024 (0.019)

LL

7719.516

7710.861

7710.444

AIC

−7.724

−7.716

7710.444

SC

−7.704

−7.699

−7.717

HQ

−7.717

−7.710

−7.703

ARCH(10)

0.224 [0.994]

0.326 [0.974]

−7.712

Q²(20)

14.792 [0.676]

15.203 [0.648]

0.308 [0.980]

J-B

6458.2^***

6028.3^***

15.093 [0.656]