|
| FIGARCH (1, d, 1) with d = 0 & f = 0.975 | FIGARCH (0, d, 0) with d = 0 | ||||||
| Lambda | T = 100 | T = 200 | T = 500 | T = 1000 | T = 100 | T = 200 | T = 500 | T = 1000 |
| 0.10 | 0.301 | 0.412 | 0.515 | 0.526 | 0.036 | 0.064 | 0.206 | 0.415 |
| 0.30 | 0.346 | 0.466 | 0.583 | 0.615 | 0.170 | 0.482 | 0.939 | 1.000 |
| 0.50 | 0.373 | 0.502 | 0.665 | 0.732 | 0.413 | 0.880 | 0.999 | 1.000 |
| 1.00 | 0.479 | 0.681 | 0.826 | 0.900 | 0.857 | 1.000 | 1.000 | 1.000 |
| 3.00 | 0.774 | 0.887 | 0.943 | 0.976 | 0.996 | 1.000 | 1.000 | 1.000 |
|
| FIGARCH (1, d, 1) with d = 0.5 & f = 0.25 | FIGARCH (0, d, 0) with d = 0.5 | ||||||
| Lambda | T = 100 | T = 200 | T = 500 | T = 1000 | T = 100 | T = 200 | T = 500 | T = 1000 |
| 0.10 | 0.194 | 0.400 | 0.631 | 0.798 | 0.171 | 0.274 | 0.462 | 0.600 |
| 0.30 | 0.290 | 0.497 | 0.759 | 0.854 | 0.161 | 0.278 | 0.517 | 0.625 |
| 0.50 | 0.467 | 0.713 | 0.859 | 0.919 | 0.209 | 0.397 | 0.607 | 0.745 |
| 1.00 | 0.773 | 0.921 | 0.984 | 0.998 | 0.374 | 0.593 | 0.783 | 0.875 |
| 3.00 | 0.984 | 0.999 | 1.000 | 1.000 | 0.693 | 0.895 | 0.976 | 0.989 |
|
| FIGARCH (1, d, 1) with d = 0.75 & f = 0.05 | FIGARCH (0, d, 0) with d = 0.75 | ||||||
| Lambda | T = 100 | T = 200 | T = 500 | T = 1000 | T = 100 | T = 200 | T = 500 | T = 1000 |
| 0.10 | 0.336 | 0.522 | 0.765 | 0.900 | 0.109 | 0.168 | 0.259 | 0.303 |
| 0.30 | 0.371 | 0.547 | 0.783 | 0.884 | 0.111 | 0.157 | 0.283 | 0.382 |
| 0.50 | 0.458 | 0.636 | 0.812 | 0.914 | 0.142 | 0.220 | 0.372 | 0.465 |
| 1.00 | 0.634 | 0.788 | 0.894 | 0.937 | 0.219 | 0.367 | 0.547 | 0.635 |
| 3.00 | 0.925 | 0.984 | 0.992 | 0.997 | 0.451 | 0.645 | 0.824 | 0.868 |