Coefficients | GARCH | ||||
(1, 1) | (1, 2) | (1, 3) | (1, 4) | (2, 1) | |
| 0.0014** | 0.0034* | 0.0033* | 0.0013** | 0.0013** |
(0.0006) | (0.0003) | (0.0003) | (0.0006) | (0.0005) | |
| 0.0862*** | 0.0629** | 0.0657*** | 0.0987*** | 0.1096** |
(0.0469) | (0.0312) | (0.0363) | (0.0523) | (0.0461) | |
| −0.0384 | −0.0435** | −0.0197 | −0.0322 | −0.0389 |
(0.0323) | (0.0215) | (0.0213) | (0.0422) | (0.0366) | |
| 1.25E−05 | 6.11E−05* | 3.49E−05* | 5.38E−06* | 1.29E−05** |
(7.73E−06) | (2.58E−06) | (2.88E−06) | (1.86E−06) | (5.91E−06) | |
| 0.3465* | 0.3195* | 0.3365* | 0.2770* | 0.1839** |
(0.1104) | (0.0490) | (0.0332) | (0.0911) | (0.0850) | |
|
| 0.4115 | |||
| (0.3785) | ||||
| 0.6684* | 0.7351* | 0.9718* | 1.4214* | 0.5159* |
(0.0789) | (0.1755) | (0.1252) | (0.0963) | (0.1580) | |
| −0.2042*** | −0.4266* | −1.1294* | ||
(0.1121) | (0.0965) | (0.1612) | |||
| 0.0768* | 0.5980* | |||
(0.0199) | (0.1286) | ||||
|
| −0.1167** | |||
| (0.0496) | ||||
Q1 (5) | 33.554* | 31.074* | 32.508* | 36.777* | 32.264* |
Q1 (10) | 39.896* | 37.997* | 38.392* | 44.698* | 40.258* |
Q2 (5) | 0.1161 | 0.1643 | 0.0911 | 0.1289 | 0.2274 |
Q2 (10) | 0.3068 | 1.1046 | 0.1850 | 0.4465 | 0.5983 |
Log Likelihood | 8700.438 | 8530.647 | 8600.336 | 8740.959 | 8746.996 |
F Stat. | 0.0512 | 6.42E−05 | 0.0252 | 0.0528 | 0.0132 |
Prob. | 0.8208 | 0.9936 | 0.8739 | 0.8093 | 0.9084 |