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%