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

0.0539

0.9366

1.4432

−0.2089

0.1273

0.0125

0.9891

1.4470

28-Apr-17

0.0000

0.0895

0.8510

1.4297

−0.6895

0.1711

0.0421

0.9453

1.4311

31-May-17

0.0000

0.0939

0.8425

1.4334

−0.7152

0.1780

0.0379

0.9434

1.4338

30-Jun-17

0.0000

0.1015

0.8251

1.4064

−0.8434

0.1885

0.0413

0.9317

1.4016

31-Jul-17

0.0000

0.0843

0.8632

1.4040

−0.7053

0.1686

0.0361

0.9436

1.3960

31-Aug-17

0.0000

0.0881

0.8551

1.4282

−0.6672

0.1671

0.0378

0.9473

1.4210

29-Sep-17

0.0000

0.0828

0.8663

1.4209

−0.6051

0.1598

0.0345

0.9528

1.4128

31-Oct-17

0.0000

0.0832

0.8661

1.4057

−0.6177

0.1622

0.0360

0.9518

1.3982

30-Nov-17

0.0000

0.0787

0.8756

1.4050

−0.5740

0.1576

0.0342

0.9558

1.3974

29-Dec-17

0.0000

0.0778

0.8822

1.3975

−0.5364

0.1589

0.0342

0.9596

1.3908