Stock index

Constant

AR part

SD

Forecasted volatility

Loglik

S & P500

−0.0513**

(0.0261)

0.996*

(0.00195)

0.0711*

(0.0143)

0.0013

−4252.87

FTSE100

−0.131*

(0.048)

0.990*

(0.0035)

0.1066*

(0.0171)

0.0008

−4104.7

NIKKEI225

−0.240*

(0.0823)

0.981*

(0.0062)

0.122*

(0.0227)

0.0014

−4232.73

DAX

−0.118*

(0.0426)

0.990*

(0.0032)

0.1228*

(0.0186)

0.0017

−4159.45

S & P/TSX

−0.0522***

(0.0277)

0.996*

(0.002)

0.074*

(0.0144)

0.0006

−4128.85

CAC40

−0.054**

(0.0254)

0.993*

(0.0028)

0.067*

(0.0138)

0.0113

−4193.88

SM

−0.235*

(0.0722)

0.982*

(0.0053)

0.156*

(0.0235)

0.0009

−4201.88