w

α₁

b₁

α₁ + b₁

LLF

Q(10)

Qs(10)

ARCH(10)

S&P 500

CARR

0.074#

0.382#

0.580#

0.962

−1033.61

11.961

10.917

1.118

(0.016)

(0.030)

(0.034)

CARR-B

0.120#

0.171#

0.452#

0.623

−1014.25

11.471

11.239

1.210

(0.024)

(0.025)

(0.054)

GARCH

0.220*

0.137*

0.832#

0.968

−2413.54

12.902

6.758

0.672

(0.111)

(0.061)

(0.059)

GARCH-B

0.747#

0.110#

0.602#

0.711

−2385.95

17.635

8.841

0.888

(0.305)

(0.028)

(0.113)

FTSE 100

CARR

0.097#

0.379#

0.574#

0.953

−1198.93

12.393

11.518

0.613

(0.017)

(0.037)

(0.039)

CARR-B

0.147#

0.354#

0.508#

0.862

−1186.43

11.923

11.819

0.711

(0.029)

(0.039)

(0.055)

GARCH

0.265*

0.176#

0.787#

0.963

−2423.61

6.658

12.371

1.305

(0.112)

(0.044)

(0.049)

GARCH-B

0.498*

0.171#

0.699#

0.870

−2412.26

9.293

10.021

1.021

(0.232)

(0.043)

(0.085)

SZSEC

CARR

0.037#

0.101#

0.877#

0.978

−1532.04

11.419

11.171

1.215

(0.005)

(0.008)

(0.008)

CARR-B

0.045#

0.106#

0.742#

0.848

−1516.58

13.729

10.042

1.114

(0.009)

(0.010)

(0.012)

GARCH

0.290*

0.128#

0.854#

0.982

−2886.91

28.961#

3.063

0.303

(0.130)

(0.024)

(0.025)

GARCH-B

0.314*

0.117#

0.843#

0.959

−2881.85

26.629#

5.199

0.528

(0.169)

(0.025)

(0.032)

FBMKLCI

CARR

0.028#

0.268#

0.726#

0.994

−663.40

10.319

10.200

0.816

(0.004)

(0.018)

(0.016)

CARR-B

0.077#

0.375#

0.418#

0.793

−633.19

6.341

5.619

0.531

(0.009)

(0.031)

(0.031)

GARCH

0.038

0.103#

0.896#

0.999

−2378.57

14.831

2.077

0.202

(0.024)

(0.025)

(0.024)

GARCH-B

0.060*

0.109#

0.872#

0.982

−2373.83

15.416

2.383

0.233

(0.039)

(0.034)

(0.040)