S & P500

NASDAQ100

DJIA

Part a. Mean Equation

−0.031367 (0.0407)*

−0.034611 (0.0174)*

−0.032936 (0.0243)*

−0.000213 (0.7079)

0.000587 (0.7856)

−0.010933 (0.0000)*

0.000988 (0.0696)*

−0.000296 (0.8895)

0.007890 (0.0000)*

Part b. Variance Equation

2.33e−06 (0.0000)*

2.04e−06 (0.0000)*

1.90e−06 (0.0000)*

−0.013482 (0.0096)*

0.025171 (0.0576)*

−0.000274 (0.9794)

0.180843 (0.0000)*

0.104174 (0.0000)*

0.162349 (0.0000)*

0.903818 (0.0000)*

0.915317 (0.0000)*

0.902444 (0.0000)*