Variables

EGARCH with Normal Distribution

(1, 1)

(1, 2)

(1, 3)

$\mu$

0.0001

0.0001

0.0005**

(0.0002)

(0.0003)

(0.0002)

${\varphi }_1$

0.1489*

0.1411*

0.1542*

(0.0220)

(0.0226)

(0.0222)

${\varphi }_2$

0.0135

0.0482***

0.0325

(0.0556)

(0.0260)

(0.0580)

$\eta$

−1.2659*

−0.2956*

−0.5718*

(0.4370)

(0.0737)

(0.1038)

$\alpha$

0.4865*

0.1611*

0.3038*

(0.1149)

(0.0201)

(0.0432)

$\lambda$

−0.1527***

0.0147

−0.0988**

(0.0914)

(0.0090)

(0.0526)

${\beta }_1$

0.8945*

0.0200*

1.7725*

(0.0450)

(0.0042)

(0.0846)

${\beta }_2$

0.9594*

−1.4774*

(0.0045)

(0.1270)

${\beta }_3$

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