S&P

FTSE

DAX

CAC

SMI

EURO

S&P_TSX

N225

KOSPI

HSI

BSESN

SSE

Panel A: Conditional mean equation

$\mu$

−0.0202

0.0057

−0.0175

0.0113

0.0087

0.0185

−0.0089

−0.0092

−0.0012

−0.0166

−0.0332

−0.0397

(0.0746)

(0.6844)

(0.2696)

(0.6102)

(0.6107)

(0.2493)

(0.5036)

(0.7154)

(0.9478)

(0.4585)

(0.0929)

(0.1003)

${\varphi }_1$

−0.0635^*

−0.0299

0.0112

−0.0440^*

0.0294

−0.0352

0.0233

−0.0402^*

−0.0077

0.0075

0.0789^*

0.0088

(0.1059)

(0.6389)

(0.1384)

(0.0741)

(0.2212)

(0.6947)

(0.6997)

(0.4965)

Panel B: Conditional variance equation

$\omega$

−0.0026

0.0008

0.0123^*

0.0137^*

−0.0018

0.0134^*

−0.0035

0.0232^*

0.0043

0.0094^*

0.0097^*

0.0109^*

(0.5199)

(0.8349)

(0.7086)

(0.2152)

(0.1809)

${\alpha }_1$

0.1954^*

0.1584^*

0.1372^*

0.1864^*

0.1833^*

0.1850^*

0.1237^*

0.1162^*

0.0961^*

0.0699^*

0.1129^*

0.0026^*

${\beta }_1$

0.9769^*

0.9750^*

0.9739^*

0.9693^*

0.9628^*

0.9718^*

0.9866^*

0.9639^*

0.9823^*

0.9846^*

0.9791^*

0.9900^*

${\gamma }_1$

0.1253^*

0.1425^*

0.1263^*

0.1089^*

0.1526^*

0.1075^*

0.1076^*

0.1752^*

0.1490^*

0.1507^*

0.1756^*

0.1438^*

skew

1.2052^*

1.1541^*

1.1540^*

1.1578^*

1.1741^*

1.1365^*

1.3209^*

1.1510^*

1.1489^*

1.0716^*

1.0619^*

1.1051^*

shape

6.5448^*

10.3353^*

24.8099^*

9.0280^*

8.8667^*

8.7654^*

13.7407^*

12.4688^*

7.8757^*

8.9537^*

6.8498^*

4.9935^*

Panel C: Diagnostics and heteroscedastic tests

Loglik

−3575.08

−3798.49

−4330.73

−4438.05

−3622.05

−4470.67

−3418.13

−4426.92

−3810.68

−4341.88

−4237.70

−4679.94

AIC

2.684

2.806

3.2198

3.2608

2.7335

3.269

2.577

3.455

2.9329

3.3564

3.2572

3.6913

BIC

2.702

2.824

3.2373

3.2781

2.7512

3.286

2.595

3.474

2.951

3.3745

3.275

3.709

Q(5)

3.6089

2.0227

2.1944

4.3065

7.4562

3.9546

2.5234

3.1462

2.857

2.198

2.1103

7.330

(0.2947)

(0.7048)

(0.6548)

(0.1807)

(0.0127)

(0.2328)

(0.5597)

(0.3954)

(0.4682)

(0.6537)

(0.6794)

(0.0143)

Q²(5)

5.807

3.958

3.628

1.875

1.8946

3.399

4.502

0.9711

7.141

9.119

4.6195

2.1849

(0.0998)

(0.2594)

(0.3043)

(0.6483)

(0.6435)

(0.3390)

(0.1978)

(0.8662)

(0.0479)

(0.0155)

(0.1863)

(0.5754)

LM(5)

0.5185

4.880

1.633

0.3841

4.947

0.7143

1.3063

1.6715

8.2317

11.725

6.985

2.570

(0.8781)

(0.1095)

(0.5582)

(0.9172)

(0.1057)

(0.8191)

(0.6447)

(0.5484)

(0.0177)

(0.0025)

(0.0351)

(0.3585)