FIGARCH (1, d, 1) (d = 0 & f = 0.975)

FIGARCH (0, d, 0) for different values of d

β

T = 100

T = 200

T = 500

T = 1000

d

T = 100

T = 200

T = 500

T = 1000

0.10

0.044

0.042

0.052

0.055

0.00

0.017

0.024

0.033

0.035

0.30

0.095

0.088

0.113

0.115

0.25

0.106

0.179

0.332

0.464

0.50

0.191

0.202

0.266

0.263

0.50

0.149

0.256

0.484

0.629

0.70

0.275

0.403

0.489

0.541

0.75

0.103

0.170

0.253

0.303

FIGARCH (1, d, 1) (d = 0.5 & f = 0.25)

FIGARCH (1, d, 0) (d = 0.5 & f = 0)

β

T = 100

T = 200

T = 500

T = 1000

β

T = 100

T = 200

T = 500

T = 1000

0.10

0.129

0.214

0.366

0.520

0.10

0.179

0.299

0.491

0.652

0.30

0.145

0.311

0.484

0.646

0.30

0.213

0.391

0.621

0.756

0.50

0.190

0.365

0.615

0.753

0.45

0.235

0.407

0.649

0.806

0.70

0.156

0.366

0.649

0.793

-

-

-

-

-

FIGARCH (1, d, 1) (d = 0.75 & f = 0.05)

FIGARCH (1, d, 0) (d = 0.75 & f = 0)

β

T = 100

T = 200

T = 500

T = 1000

β

T = 100

T = 200

T = 500

T = 1000

0.10

0.129

0.188

0.298

0.349

0.10

0.151

0.192

0.331

0.349

0.30

0.193

0.293

0.436

0.498

0.30

0.192

0.286

0.443

0.533

0.50

0.275

0.422

0.616

0.700

0.50

0.294

0.441

0.657

0.744

0.70

0.326

0.563

0.773

0.890

0.70

0.319

0.525

0.784

0.914