| UC: p-value | (0.423) | (0.838) | (0.423) | (1.000) | (0.838) | (0.678) | (0.530) | (1.000) | (0.319) | (0.319) | (0.836) | (0.678) | ||
| APARCH | 6.2% | 4.5% | 5.6% | 5.8% | 6.2% | 5.2% | 4.0% | 4.8% | 5.6% | 6.2% | 4.6% | 4.4% | ||
| UC: p-value | (0.235) | (0.678) | (0.546) | (0.423) | (0.235) | (0.838) | (0.288) | (0.836) | (0.546) | (0.235) | (0.673) | (0.530) | ||
| GARCH-EVT | 3.8% | 4.2% | 5.0% | 5.4% | 5.0% | 4.8% | 3.6% | 5.0% | 5.0% | 5.8% | 5.0% | 4.0% | ||
| UC: p-value | (0.199) | (0.399) | (1.000) | (0.685) | (1.000) | (0.836) | (0.131) | (1.000) | (1.000) | (0.423) | (1.000) | (0.288) | ||
|
| 1% level of significance | |||||||||||||
| GARCH | 1.8% | 1.8% | 2.2% | 1.8% | 1.4% | 1.8% | 1.8% | 1% | 1.8% | 1.6% | 1.4% | 1.4% | ||
| UC: p-value | (0.106) | (0.106) | ** | (0.106) | (0.397) | (0.106) | (0.106) | (1.000) | (0.106) | (0.215) | (0.397) | (0.397) | ||
| EGARCH | 1.8% | 1.8% | 2.2% | 2.2% | 1.6% | 2.6% | 1.6% | 1.2% | 1.6% | 1.4% | 1.4% | 1.6% | ||
| UC: p-value | (0.106) | (0.106) | ** | ** | (0.215) | ** | (0.215) | (0.663) | (0.215) | (0.397) | (0.397) | (0.215) | ||
| GJR-GARCH | 1.6% | 2.0% | 2.2% | 2.2% | 1.4% | 2.2% | 1.6% | 1.0% | 1.2% | 1.2% | 1.2% | 1.4% | ||
| UC: p-value | (0.215) | ** | ** | ** | (0.397) | ** | (0.215) | (1.000) | (0.663) | (0.663) | (0.663) | (0.397) | ||
| APARCH | 1.4% | 1.8% | 2.2% | 2.0% | 1.6% | 2.4% | 1.4% | 0.8% | 1.4% | 1.4% | 1.4% | 1.6% | ||
| UC: p-value | (0.897) | (0.106) | ** | ** | (0.215) | ** | (0.397) | (0.641) | (0.397) | (0.397) | (0.397) | (0.215) | ||
| GARCH-EVT | 1.0% | 1.8% | 1.8% | 1.8% | 1.2% | 1.6% | 1.6% | 0.8% | 1.6% | 1.2% | 1.2% | 1.2% | ||
| UC: p-value | (1.000) | (0.106) | (0.106) | (0.106) | (0.663) | (0.215) | (0.215) | (0.641) | (0.215) | (0.663) | (0.663) | (0.663) | ||
| 1000 window | 5% level of significance | |||||||||||||
| GARCH | 4.8% (3) | 4.4% | 6.3% | 5.3% | 5.3% | 5.3% | 5.0% | 4.4% | 5.6% | 5.6% | 4.8% | 4.1% | ||
| UC: p-value | (0.770) | (0.375) | (0.069) | (0.666) | (0.666) | (0.666) | (1.000) | (0.375) | (0.393) | (0.393) | (0.770) | (0.178) | ||
| EGARCH | 5.1% (2) | 4.3% | 4.3% | 4.3% | 4.9% | 3.9% | 4.5% | 4.6% | 5.6% | 5.9% | 4.5% | 4.0% | ||
| LRUC p-value | (0.885) | (0.299) | (0.299) | (0.299) | (0.884) | (0.097) | (0.461) | (0.557) | (0.393) | (0.204) | (0.461) | (0.133) | ||
| GJR-GARCH | 4.5% (4) | 4.4% | 4.9% | 3.9% | 4.6% | 3.7% | 4.2% | 3.8% | 5.3% | 5.5% | 3.9% | 4.1% | ||
| UC: p-value | (0.461) | (0.375) | (0.884) | (0.097) | (0.557) | ** | (0.233) | (0.070) | (0.666) | (0.475) | (0.097) | (0.178) | ||
| APARCH | 4.9% (1) | 3.9% | 4.5% | 4.4% | 4.8% | 4.1% | 4.3% | 4.0% | 5.4% | 5.7% | 4.3% | 4.0% | ||
| UC: p-value | (0.884) | (0.097) | (0.461) | (0.375) | (0.770) | (0.178) | (0.299) | (0.133) | (0.566) | (0.320) | (0.299) | (0.133) | ||
| GARCH-EVT | 3.3% (5) | 3.5% | 3.7% | 4.1% | 4.2% | 3.4% | 4.0% | 3.6% | 4.6% | 4.6% | 3.9% | 3.8% | ||
| UC: p-value | ** | ** | ** | (0.178) | (0.233) | ** | (0.133) | ** | (0.557) | (0.557) | (0.097) | (0.069) | ||
|
| 1% level of significance | |||||||||||||
| GARCH | 1.5% (4) | 1.4% (5) | 1.1% (2) | 1.0% (1) | 0.9% (1) | 1.2% | 1.5% | 0.9% | 1.6% | 1.3% | 0.9% | 1.4% | ||
| UC: p-value | (0.139) | (0.231) | (0.754) | (1.000) | (0.746) | (0.538) | (0.139) | (0.746) | (0.097) | (0.362) | (0.746) | (0.231) | ||
| EGARCH | 1.5% (4) | 1.3% (4) | 1.3% (5) | 1.3% (5) | 0.8% (3) | 1.4% | 1.2% | 0.8% | 1.5% | 1.1% | 1.1% | 1.5% | ||
| UC: p-value | (0.139) | (0.362) | (0.362) | (0.362) | (0.510) | (0.231) | (0.538) | (0.510) | (0.139) | (0.754) | (0.754) | (0.139) | ||
| GJR-GARCH | 1.2% (2) | 1.2% (1) | 1.1% (3) | 1.2% (5) | 0.8% | 1.1% | 1.2% | 0.9% | 1.2% | 1.2% | 0.8% | 1.4% | ||
| UC: p-value | (0.538) | (0.538) | (0.754) | (0.538) | (0.510) | (0.754) | (0.538) | (0.746) | (0.538) | (0.538) | (0.510) | (0.231) | ||
| APARCH | 1.3% (3) | 1.2% (1) | 1.1% (3) (2) | 1.1% (3) | 0.9% (1) | 1.3% | 1.3% | 0.8% | 1.4% | 1.1% | 1.0% | 1.5% | ||
| UC: p-value | (0.362) | (0.538) | (0.754) | (0.754) | (0.746) | (0.362) | (0.362) | (0.510) | (0.231) | (0.754) | (1.000) | (0.139) | ||
| GARCH-EVT | 1.0% (1) | 1.2% (1) | 0.9% (1) | 0.9% (2) | 0.8% (3) | 0.8% | 1.3% | 0.8% | 1.3% | 0.9% | 0.9% | 1.3% | ||
| UC: p-value | (1.000) | (0.538) | (0.746) | (0.746) | (0.510) | (0.510) | (0.362) | (0.510) | (0.362) | (0.746) | (0.746) | (0.362) | ||