Variables | IGARCH with Normal Distribution | ||
(1, 1) | (1, 2) | (1, 3) | |
| 0.0003 | 0.0001 | 0.0003 |
(0.0002) | (0.0002) | (0.0002) | |
| 0.0908* | 0.1123* | 0.0879* |
(0.0335) | (0.0305) | (0.0326) | |
| −0.0390 | −0.0465 | −0.0468 |
(0.0280) | (0.0298) | (0.0287) | |
| 0.0109 | 0.0292 | 0.0140** |
(0.0089) | (0.0188) | (0.0069) | |
| 0.9890* | −0.0015 | 1.4322* |
(0.0089) | (0.0040) | (0.0109) | |
| 0.9722* | −1.4204* | |
(0.0225) | (0.0233) | ||
| 0.9741* | ||
(0.0194) | |||
Q1 (5) | 16.274* | 15.658* | 20.861* |
Q1 (10) | 25.969* | 25.727* | 32.325* |
Q2 (5) | 4.963 | 3.336 | 9.628** |
Q2 (10) | 5.545 | 3.890 | 11.767 |
Log Likelihood | 8529.451 | 8582.327 | 8573.475 |
F Statistic | 2.820*** | 1.578 | 4.475** |
Probability | 0.093 | 0.209 | 0.034 |