Skewed normal distribution | AIC | WLB test | WLM test | KS test |
GARCH (1, 1) | −4.740 | 0.944 | 0.655 | 1.000 |
EGARCH (1, 1) | −4.755 | 0.817 | 0.536 | 1.000 |
IGARCH (1, 1) | −4.738 | 0.915 | 0.577 | 1.000 |
GJR-GARCH (1, 1) | −4.747 | 0.989 | 0.605 | 1.000 |
APARCH (1, 1) | −4.772 | 0.597 | 0.348 | 1.000 |
Student's t distribution | AIC | WLB test | WLM test | KS test |
GARCH (1, 1) | −4.845 | 0.902 | 0.667 | 1.000 |
EGARCH (1, 1) | −4.851 | 0.913 | 0.538 | 1.000 |
IGARCH (1, 1) | −4.846 | 0.891 | 0.641 | 1.000 |
GJR-GARCH (1, 1) | −4.848 | 0.984 | 0.574 | 1.000 |
APARCH (1, 1) | −4.857 | 0.958 | 0.358 | 1.000 |