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α | 5% | SIN | MAL | HK | INDO | SK | PH | TH | CH | TW | IN | |
GARCH | 2.55% | 2.16% | 4.48% | 3.41% | 3.29% | 3.23% | 3.50% | 4.89% | 2.85% | 4.36% | ||
APARCH | 2.70% | 2.28% | ˉ | 3.38% | 2.96% | 3.26% | 3.35% | 4.92% | 2.96% | 1.36% | ||
GJR | 2.70% | 2.16% | 4.59% | 3.32% | 2.10% | 3.14% | 3.35% | 4.83% | 2.85% | 4.12% | ||
FIGARCH | 3.08% | 3.56% | 4.62% | 3.59% | 3.08% | 3.17% | 4.92% | 5.69% | 4.09% | 4.74% | ||
FIAPARCH | 3.62% | 4.24% | 6.55% | ˉ | ˉ | 2.64% | 5.19% | 5.63% | 3.70% | 6.34% | ||
GPD | 5.60% | 4.62% | 5.48% | 5.28% | 4.48% | 4.71% | 4.68% | 5.75% | 5.01% | 5.10% |