MODEL

ω × 10⁻⁵

t-ratio

α₁

t-ratio

β₁

t-ratio

α₂

t-ratio

β₂

t-ratio

δ

t-ratio

θ

t-ratio

ARCH (1)

10.023

3.29

0.82

3.12

ARCH (2)

10.605

3.14

0.78

3.07

−0.02

−0.42

PARCH (1,1)

2.3729

1.21

0.32

2.13

0.36

1.81

0.08

0.92

0.81

0.56

GARCH (1,1)

10.891

2.89

0.79

3.07

−0.03

−0.41

GARCH (1,2)

10.186

2.39

0.61

2.47

−0.14

−1.51

0.23

2.19

GARCH (2,1)

1.8803

2.85

0.77

3.44

−0.74

−3.68

0.91

22.8

EGARCH (1,1)

3.0994

4.80

1.17

4.45

0.01

0.05

−0.37

−2.29

GJRGARCH (1,1)

11.098

0.86

−0.01

−0.79

−0.08

−2.50

0.59

1.19

CGARCH (1,1)

23.121

5.11

0.02

0.02

0.07

0.02

0.05

0.02

−0.03

−0.36

0.00

0.00

GARCH−M (1,1)

15.346

3.96

0.35

2.06

0.39

1.07

−0.12

−1.12

GARCH (2,2)

3.8942

2.86

0.88

3.37

−0.67

−4.04

0.74

4.09

−0.03

−1.01