N

SN

GED

SGED

ST

SST

GHST

HYP

NIG

Panel A: Mean and variance parameters

$\omega$

0.103^*** (−0.015)

0.100^*** (0.015)

0.106^*** (0.019)

0.100^*** (0.018)

0.112^*** (0.02)

0.106^*** (0.02)

0.124^*** (0.021)

0.105^*** (0.02)

0.103^*** (0.019)

${\beta }_0$

0.342^*** (0.039)

0.340^*** (0.038)

0.339^*** (0.046)

0.323^*** (0.043)

0.343^*** (0.048)

0.324^*** (0.045)

0.369^*** (0.051)

0.323^*** (0.045)

0.323^*** (0.044)

${\beta }_1$

0.652^*** (0.027)

0.658^*** (0.027)

0.659^*** (0.033)

0.671^*** (0.033)

0.656^*** (0.035)

0.672^*** (0.034)

0.626^*** (0.033)

0.675^*** (0.034)

0.675^*** (0.034)

$\gamma$

−0.131^*** (0.036)

−0.08^** (0.035)

−0.118^** (0.042)

−0.075^*** (0.04)

−0.120^*** (0.044)

−0.087^** (0.042)

−0.183^** (0.047)

−0.078^*** (0.042)

−0.077^** (0.041)

Panel B: Skewness and shape parameters

$\alpha$

-----

1.124^*** (0.025)

-----

1.127^*** (0.026)

-----

1.122^*** (0.029)

−0.813^*** (0.194)

0.322^*** (0.279)

0.175^*** (0.038)

$\nu$

-----

-----

1.332^*** (0.043)

1.337^*** (0.044)

5.922^*** (0.621)

6.001^*** (0.639)

8.197^*** (0.588)

1.209^* (0.931)

1.704^*** (0.252)

Panel C: Other statistics

Ln(θ)

−4635.207

−4622.147

−4552.195

−4541.595

−4539.201

−4529.999

−4575.896

−4530.593

−4531.196

LQ(1)

2.200

2.346

1.329

0.840

1.286

0.903

0.587

1.129

0.997

LQ(5)

3.105

3.244

2.961

2.822

2.854

2.788

2.794

2.839

2.806

LQ(9)

4.308

4.431

4.490

4.511

4.337

4.424

4.595

4.396

4.408