	DLDSEGEN	DLIPI	DLINT	DLCPI	DLEXR	DLM2	DLGDPRICE
GARCH(1,1)
ω	0.002**	0.003	6.3E−07**	1.51E−06*	2.9E−06**	Coefficients are not unique	0.0003**
α	0.3104**	0.0429	0.2012**	0.0502**	0.2454**		0.4612**
β	0.4248**	0.3352	0.7719**	0.9312**	0.8095**		0.5287**
α + β	0.7352	0.3781	0.9731	0.9814	1.0550		0.9899
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH		No ARCH
AIC	−2.1899	−2.438	−9.0269	−6.5454	−6.6595		−3.7305
AR(1)-GARCH(1,1)
ω	0.0021**	0.0011	6.7E−07**	1.4E−06**	2.7E−06**	0.0001	0.0003**
α	0.2789**	−0.003	0.2237**	0.0487**	0.2618**	−0.0398	0.4586**
β	0.4454**	0.7696	0.7494**	0.9311**	0.8020**	0.4710	0.5301**
α + β	0.7243	0.7664	0.9731	0.9798	1.0638	0.4313	0.9887
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH
AIC	−2.1865	−2.4532	−9.0427	−6.6278	−6.6743	−5.6156	−3.7185
EGARCH(1,1,1)
ω	−1.173**	−5.705	−13.346**	−0.3102**	−0.636**	−10.7**	−7.993**
α	0.3549**	0.0324	1.0118**	0.1009**	−0.0543**	−0.0414	−0.1053
γ	0.1147**	0.0456	0.8235**	0.0864**	0.3544**	0.3646*	0.3680**
β	0.8178**	−0.0714	−0.0766*	0.9757**	0.9416**	−0.2720	−0.277**
α + β	1.1727	−0.0390	0.9352	1.0765	0.8873	−0.3134	−0.3826
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH
AIC	−2.1903	−2.4293	−8.8202	−6.5727	−6.9097	−5.5854	−3.4264
AR(1)-EGARCH(1,1,1)
ω	−1.479**	−10.2**	−12.703**	−0.296**	−0.5684**	Coefficients are not unique	−7.911**
α	0.4250**	−0.1355	1.0516**	0.0953**	−0.1006**		−0.1095
γ	0.0901*	−0.0181	0.7774**	0.1023**	0.4543**		0.3756**
β	0.767**	−0.94**	−0.0215	0.9767**	0.9493**		−0.265**
α + β	1.1916	−1.0720	1.0301	1.0720	0.8487		−0.3749
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH		No ARCH
AIC	−2.1813	−2.4657	−8.8184	−6.6561	−6.9360		−3.4168
TGARCH(1,1,1)
ω	0.0017**	0.00193	6.6E−07**	1.0E−06**	1.0E−06**	0.000**	0.0013**
α	0.3243**	0.0056	0.1790**	0.1069**	0.3148**	0.2854	0.1500
γ	−0.1642*	0.0588	0.0432	−0.1152**	−0.5961**	−0.3716	−0.284**
β	0.5384	0.5783	0.7694**	0.9383**	0.8667**	−0.0950	0.6000**
α + β	0.8627	0.5839	0.9484	1.0452	1.1815	0.1903	0.7500
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH
AIC	−2.1877	−2.4317	−9.0215	−6.5656	−6.9130	−5.5825	−3.2966
AR(1)-TGARCH(1,1,1)
ω	0.0020**	0.0010	6.7E−07**	1.0E−06**	9.7E−07**	−2E−07	0.0012**
α	0.3084**	−0.0171	0.2181**	0.1048**	0.3172**	−0.025*	0.1443*
γ	−0.0970	0.0342	0.0105	−0.1037**	−0.5975**	0.0281	−0.269**
β	0.4845**	0.7988	0.7494**	0.9346**	0.8652**	1.012**	0.5906**
α + β	0.7928	0.7817	0.9675	1.0393	1.1825	0.9875	0.7349
ARCH LM	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH	No ARCH
AIC	−2.1814	−2.4471	−9.0360	−6.6383	−6.9092	−5.7412	−3.3575