Model coefficients

σ t 2 = ω + α ε t 1 2 + β σ t 1 2

ln ( σ t 2 ) = ω + α ( | Z t 1 | E | Z t 1 | ) + γ Z t 1 + β ln ( σ t 1 2 )

Estimation Date

ω

α

β

GED parameter

ω

α

γ

β

GED parameter

31-Mar-11

0.0000

0.2428

0.7535

1.4176

−0.9632

0.4243

0.0391

0.9412

1.3932

28-Apr-17

0.0000

0.0821

0.9027

1.4213

−0.2408

0.1329

0.0485

0.9875

1.4158

31-May-17

0.0000

0.0869

0.8954

1.3893

−0.2704

0.1467

0.0492

0.9857

1.3847

30-Jun-17

0.0000

0.1019

0.8696

1.3859

−0.3569

0.1659

0.0542

0.9793

1.3783

31-Jul-17

0.0000

0.0907

0.8905

1.3715

−0.2743

0.1530

0.0478

0.9859

1.3623

31-Aug-17

0.0000

0.0860

0.8957

1.3528

−0.2642

0.1426

0.0465

0.9861

1.3424

29-Sep-17

0.0000

0.0889

0.8892

1.3460

−0.2953

0.1334

0.0623

0.9827

1.3412

31-Oct-17

0.0000

0.0901

0.8860

1.3492

−0.2827

0.1289

0.0616

0.9836

1.3427

30-Nov-17

0.0000

0.0904

0.8856

1.3484

−0.2830

0.1302

0.0627

0.9837

1.3410

29-Dec-17

0.0000

0.0913

0.8852

1.3427

−0.2899

0.1347

0.0659

0.9835

1.3361