Model | S&P | FTSE | DAX | CAC | SMI | EURO | S&P_TSX | N225 | KOSPI | HSI | BSESN | SSE |
500 window | 5% level of significance | |||||||||||
GARCH | 6.2% | 5% | 7.2% | 6.8% | 6% | 5.8% | 5.6% | 5.8% | 6.2% | 6.4% | 6% | 4.6% |
UC: p-value | (0.235) | (1.000) | ** | (0.079) | (0.319) | (0.423) | (0.546) | (0.423) | (0.235) | (0.168) | (0.319) | (0.678) |
EGARCH | 5.6% | 4.6% | 5.8% | 5.8% | 6.8% | 5.4% | 4.2% | 5.2% | 6.0% | 6.4% | 4.4% | 4.4% |
UC: p-value | (0.546) | (0.678) | (0.423) | (0.423) | (0.079) | (0.685) | (0.399) | (0.838) | (0.319) | (0.168) | (0.530) | (0.530) |
GJR-GARCH | 5.8% | 5.2% | 5.8% | 5.0% | 5.2% | 4.6% | 4.4% | 5.0% | 6.0% | 6.0% | 4.8% | 4.6% |