Skewed t distribution

AIC

WLB test

WLM test

KS test

GARCH (1, 1)

−4.868

0.534

0.250

1.000

EGARCH (1, 1)

−4.875

0.732

0.561

1.000

IGARCH (1, 1)

−4.868

0.362

0.639

1.000

GJR-GARCH (1, 1)

−4.871

0.912

0.598

1.000

APARCH (1, 1)

−4.884

0.956

0.235

1.000