| α | 2.5% | |||||||||||
| GARCH | 1.54% | 1.24% | 2.37% | 2.40% | 1.81% | 1.81% | 1.81% | 3.14% | 1.81% | 2.52% | ||
| APARCH | 1.45% | 1.24% | ˉ | 2.34% | 1.39% | 1.90% | 1.66% | 3.32% | 1.57% | 0.36% | ||
| GJR | 1.51% | 1.22% | 2.37% | 2.37% | 1.04% | 1.87% | 1.69% | 3.29% | 1.54% | 2.49% | ||
| FIGARCH | 1.93% | 2.22% | 2.64% | 2.52% | 1.63% | 1.78% | 2.79% | 3.50% | 2.70% | 2.73% | ||
| FIAPARCH | 2.19% | 2.73% | 4.09% | ˉ | ˉ | 1.39% | 2.96% | 3.91% | 2.22% | 3.82% | ||
| GPD | 2.79% | 2.40% | 3.29% | 3.02% | 2.25% | 2.73% | 2.91% | 3.23% | 3.26% | 2.99% | ||
| α | 1% | |||||||||||
| GARCH | 0.80% | 0.71% | 1.42% | 1.39% | 0.86% | 1.27% | 0.89% | 2.10% | 0.95% | 1.51% | ||
| APARCH | 0.65% | 0.59% | ˉ | 1.33% | 0.71% | 1.22% | 0.80% | 2.22% | 0.71% | 0.03% | ||
| GJR | 0.62% | 0.59% | 1.36% | 1.36% | 0.47% | 1.16% | 0.77% | 2.07% | 0.74% | 1.36% | ||
| FIGARCH | 0.92% | 1.24% | 1.66% | 1.54% | 0.62% | 1.24% | 1.30% | 2.40% | 1.60% | 1.60% | ||
| FIAPARCH | 1.19% | 1.60% | 2.40% | ˉ | ˉ | 0.95% | 1.45% | 2.55% | 1.22% | 2.31% | ||
| GPD | 1.48% | 1.25% | 1.72% | 1.60% | 1.16% | 1.54% | 1.22% | 1.72% | 1.66% | 1.75% | ||
| Right | ||||||||||||
| α | 5% | |||||||||||
| GARCH | 2.22% | 1.72% | 3.94% | 2.76% | 1.93% | 3.70% | 2.52% | 4.86% | 1.33% | 3.85% | ||
| APARCH | 2.16% | 1.87% | 2.61% | 1.66% | 3.85% | 2.37% | 5.69% | 1.48% | 3.41% | |||
| GJR | 2.07% | 1.78% | 3.97% | 2.55% | 1.19% | 3.91% | 2.46% | 5.96% | 1.33% | 3.88% | ||
| FIGARCH | 2.61% | 2.90% | 4.65% | 2.52% | 1.84% | 3.59% | 3.05% | 5.42% | 2.49% | 4.24% | ||
| FIAPARCH | 3.32% | 4.15% | 6.99% | ˉ | ˉ | 2.61% | 3.70% | 6.61% | 2.28% | 5.93% | ||
| GPD | 4.21% | 4.39% | 4.98% | 4.33% | 3.82% | 4.95% | 4.03% | 6.11% | 3.74% | 4.71% | ||
| α | 2.5% | |||||||||||
| GARCH | 0.98% | 0.89% | 1.99% | 1.48% | 0.92% | 1.75% | 1.16% | 3.02% | 0.71% | 1.72% | ||
| APARCH | 0.95% | 1.01% | ˉ | 1.51% | 0.77% | 1.99% | 1.13% | 3.44% | 0.80% | 1.45% | ||
| GJR | 0.98% | 1.01% | 1.81% | 1.45% | 0.50% | 1.96% | 1.07% | 3.53% | 0.59% | 1.93% | ||
| FIGARCH | 1.30% | 1.45% | 2.25% | 1.42% | 0.83% | 1.81% | 1.39% | 3.05% | 1.10% | 1.99% | ||
| FIAPARCH | 1.72% | 2.25% | 3.97% | ˉ | ˉ | 1.39% | 1.63% | 4.27% | 0.92% | 3.44% | ||
| GPD | 2.64% | 2.52% | 2.91% | 2.34% | 1.66% | 2.49% | 2.02% | 2.99% | 1.93% | 2.08% | ||
| α | 1% | |||||||||||
| GARCH | 0.59% | 0.39% | 0.83% | 0.59% | 0.33% | 0.71% | 0.50% | 1.42% | 0.27% | 0.68% | ||
| APARCH | 0.59% | 0.39% | ˉ | 0.80% | 0.27% | 0.83% | 0.44% | 1.63% | 0.30% | 0.41% | ||
| GJR | 0.59% | 0.44% | 0.95% | 0.74% | 0.15% | 0.86% | 0.50% | 1.69% | 0.24% | 0.71% | ||
| FIGARCH | 0.53% | 0.71% | 0.98% | 0.71% | 0.18% | 0.65% | 0.59% | 1.84% | 0.56% | 0.77% | ||
| FIAPARCH | 0.65% | 1.07% | 1.96% | ˉ | ˉ | 0.59% | 0.77% | 2.28% | 0.47% | 1.66% | ||
| GPD | 1.25% | 0.98% | 1.27% | 0.95% | 0.74% | 0.86% | 0.95% | 1.27% | 0.95% | 1.04% |