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 |
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ARCH (2) | 12.6 | 2.97 | 0.07 | 0.46 |
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| 0.85 | 3.58 |
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PARCH (1,1) | 0.41 | 0.14 | 0.29 | 0.95 | 0.31 | 2.98 | 0.45 | 1.75 | 5.63 | 1.39 |
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GARCH (1,1) | −0.03 | −0.06 | 0.39 | 2.29 | 0.68 | 5.88 |
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GARCH (1,2) | −0.59 | −4.09 | 0.41 | 2.36 | 0.33 | 1.01 | 0.34 | 1.22 |
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GARCH (2,1) | −0.39 | −1.71 | 0.45 | 2.03 | −0.19 | −1.04 |
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| 0.79 | 9.63 |
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EGARCH (1,1) | 4.56 | 5.66 | 0.13 | 0.48 | 0.54 | 3.29 |
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| −0.25 | −1.20 |
GJRGARCH (1,1) | 0.01 | 0.02 | 0.24 | 1.90 | 0.26 | 1.43 |
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| 0.69 | 6.89 |
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CGARCH (1,1) | 42.2 | 0.82 | 0.89 | 7.64 | 0.16 | 0.32 | −0.02 | −0.04 | 0.17 | 0.78 |
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| 0.78 | 1.46 |
GARCH−M (1,1) | 1.89 | 0.75 | −0.02 | −0.18 | 0.67 | 2.16 |
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| 0.73 | 5.33 |
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GARCH (2,2) | −0.57 | −1.34 | 0.42 | 1.87 | −0.04 | −0.13 | 0.42 | 0.62 | 0.28 | 0.54 |
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