Variables | EGARCH with Normal Distribution | ||
(1, 1) | (1, 2) | (1, 3) | |
| 0.0001 | 0.0001 | 0.0005** |
(0.0002) | (0.0003) | (0.0002) | |
| 0.1489* | 0.1411* | 0.1542* |
(0.0220) | (0.0226) | (0.0222) | |
| 0.0135 | 0.0482*** | 0.0325 |
(0.0556) | (0.0260) | (0.0580) | |
| −1.2659* | −0.2956* | −0.5718* |
(0.4370) | (0.0737) | (0.1038) | |
| 0.4865* | 0.1611* | 0.3038* |
(0.1149) | (0.0201) | (0.0432) | |
| −0.1527*** | 0.0147 | −0.0988** |
(0.0914) | (0.0090) | (0.0526) | |
| 0.8945* | 0.0200* | 1.7725* |
(0.0450) | (0.0042) | (0.0846) | |
| 0.9594* | −1.4774* | |
(0.0045) | (0.1270) | ||
| 0.6649* | ||
(0.0408) | |||
Q1 (5) | 21.938* | 21.402* | 27.451* |
Q1 (10) | 28.350* | 29.040* | 33.939* |
Q2 (5) | 0.0892 | 25.218* | 0.2585 |
Q2 (10) | 0.2739 | 27.467* | 1.0130 |
Log Likelihood | 8744.181 | 8715.984 | 8815.427 |
F Statistic | 0.0467 | 13.547* | 0.0102 |
Probability | 0.8288 | 0.000 | 0.9193 |