S&P

FTSE

DAX

CAC

SMI

EURO

S&P_TSX

N225

KOSPI

HSI

BSESN

SSE

Dist.

Skewed Student-t distribution

GARCH

AIC

2.741

2.855

3.264

3.325

2.785

3.334

2.610

3.482

2.955

3.369

3.279

3.690

BIC

2.756

2.870

3.279

3.3398

2.801

3.349

2.626

3.498

2.971

3.385

3.294

3.707

EGARCH

AIC

2.684

2.806

3.2198

3.261

2.734

3.269

2.577

3.455

2.933

3.356

3.257

3.691

BIC

2.702

2.824

3.237

3.278

2.751

3.286

2.595

3.474

2.951

3.375

3.275

3.709

GJRGARCH

AIC

2.694

2.809

3.228

3.277

2.744

3.287

2.585

3.463

2.933

3.357

3.256

3.691

BIC

2.712

2.826

3.246

3.295

2.762

3.304

2.603

3.481

2.951

3.375

3.274

3.709

CSGARCH

AIC

2.712

2.852

3.265

3.325

2.784

3.335

2.611

3.483

2.955

3.370

3.280

3.692

BIC

2.761

2.872

3.285

3.345

2.804

3.354

2.631

3.503

2.976

3.390

3.301

3.713

APARCH

AIC

2.678

2.801

3.217

3.259

2.728

3.268

2.575

3.454

2.931

3.353

3.254

3.691

BIC

2.698

2.821

3.237

3.279

2.748

3.288

2.595

3.474

2.951

3.374

3.275

3.712

Dist.

Generalized error distribution

GARCH

AIC

2.739

2.856

3.262

3.328

2.795

3.334

2.635

3.489

2.957

3.367

3.282

3.687

BIC

2.752

2.869

3.275

3.341

2.908

3.347

2.649

3.502

2.970

3.380

3.295

3.701

EGARCH

AIC

2.699

2.815

3.228

3.275

2.754

3.280

2.612

3.465

2.939

3.354

3.266

3.689

BIC

2.715

2.830

3.243

3.291

2.7699

3.295

2.627

3.481

2.955

3.370

3.281

3.705

GJRGARCH

AIC

2.704

2.816

3.234

3.288

2.764

3.294

2.617

3.471

2.939

3.355

3.265

3.688

BIC

2.7195

2.831

3.249

3.304

2.997

3.309

2.633

3.487

2.955

3.370

3.281

3.704

CSGARCH

AIC

2.7395

2.853

3.263

3.328

2.795

3.335

2.636

3.489

2.957

3.367

3.283

3.689

BIC

2.757

2.871

3.280

3.346

2.812

3.352

2.654

3.507

2.975

3.385

3.301

3.707

APARCH

AIC

2.693

2.810

3.225

3.272

2.749

3.278

2.610

3.465

2.937

3.351

3.262

3.688

BIC

2.711

2.828

3.242

3.2898

2.767

3.296

2.627

3.483

2.955

3.369

3.281

3.707