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)

20.5

3.40

0.99

2.84

ARCH (2)

12.6

2.97

0.07

0.46

0.85

3.58

PARCH (1,1)

0.41

0.14

0.29

0.95

0.31

2.98

0.45

1.75

5.63

1.39

GARCH (1,1)

−0.03

−0.06

0.39

2.29

0.68

5.88

GARCH (1,2)

−0.59

−4.09

0.41

2.36

0.33

1.01

0.34

1.22

GARCH (2,1)

−0.39

−1.71

0.45

2.03

−0.19

−1.04

0.79

9.63

EGARCH (1,1)

4.56

5.66

0.13

0.48

0.54

3.29

−0.25

−1.20

GJRGARCH (1,1)

0.01

0.02

0.24

1.90

0.26

1.43

0.69

6.89

CGARCH (1,1)

42.2

0.82

0.89

7.64

0.16

0.32

−0.02

−0.04

0.17

0.78

0.78

1.46

GARCH−M (1,1)

1.89

0.75

−0.02

−0.18

0.67

2.16

0.73

5.33

GARCH (2,2)

−0.57

−1.34

0.42

1.87

−0.04

−0.13

0.42

0.62

0.28

0.54