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 |