Model | S&P | FTSE | DAX | CAC | SMI | EURO | S&P_TSX | N225 | KOSPI | HSI | BSESN | SSE |
500 window | 5% level of significance | |||||||||||
GARCH | 5.501 | 8.000 | 5.380 | 14.657 | 5.835 | 6.032 | 0.487 | 3.343 | 3.425 | 2.348 | 3.334 | 0.117 |
CC: p-value | (0.064) | ** | (0.068) | ** | (0.054) | ** | (0.784) | (0.188) | (0.180) | (0.309) | (0.189) | (0.915) |
EGARCH | 0.487 | 3.097 | 1.714 | 1.714 | 4.393 | 1.734 | 1.874 | 0.154 | 1.759 | 2.348 | 0.395 | 0.395 |
CC: p-value | (0.784) | (0.213) | (0.424) | (0.424) | (0.111) | (0.420) | (0.392) | (0.926) | (0.415) | (0.309) | (0.821) | (0.821) |
GJR-GARCH | 3.343 | 4.264 | 1.714 | 5.009 | 1.903 | 1.012 | 0.395 | 2.638 | 1.759 | 1.759 | 0.066 | 0.177 |
CC: p-value | (0.188) | (0.119) | (0.424) | (0.082) | (0.386) | (0.603) | (0.821) | (0.267) | (0.415) | (0.415) | (0.967) | (0.915) |
APARCH | 3.425 | 3.097 | 1.673 | 3.734 | 3.588 | 4.264 | 2.543 | 2.469 | 0.487 | 2.007 | 0.177 | 0.395 |
CC: p-value | (0.180) | (0.213) | (0.433) | (0.155) | (0.166) | (0.119) | (0.280) | (0.291) | (0.784) | (0.367) | (0.915) | (0.821) |
GARCH-EVT | 1.749 | 4.523 | 0.497 | 7.098 | 4.739 | 5.339 | 4.295 | 0.060 | 0.426 | 1.605 | 2.016 | 1.176 |
CC: p-value | (0.417) | (0.104) | (0.780) | ** | (0.094) | (0.069) | (0.117) | (0.970) | (0.808) | (0.488) | (0.365) | (0.555) |
| 1% level of significance | |||||||||||
GARCH | 2.943 | 2.943 | 5.869 | 2.943 | 0.918 | 2.943 | 4.739 | 0.101 | 2.943 | 4.104 | 0.918 | 3.805 |
CC: p-value | (0.230) | (0.230) | (0.053) | (0.230) | (0.632) | (0.230) | (0.094) | (0.951) | (0.230) | (0.128) | (0.632) | (0.149) |
EGARCH | 2.943 | 2.943 | 5.869 | 5.915 | 1.799 | 9.669 | 4.104 | 0.336 | 1.799 | 0.918 | 0.918 | 4.104 |
CC: p-value | (0.230) | (0.230) | (0.053) | (0.052) | (0.407) | ** | (0.128) | (0.845) | (0.407) | (0.632) | (0.632) | (0.128) |
GJR-GARCH | 1.799 | 4.323 | 5.869 | 5.915 | 0.918 | 5.915 | 4.104 | 0.101 | 0.336 | 0.336 | 0.336 | 3.805 |
CC: p-value | (0.407) | (0.115) | (0.053) | (0.052) | (0.632) | (0.052) | (0.128) | (0.951) | (0.845) | (0.845) | (0.845) | (0.149) |
APARCH | 0.918 | 2.943 | 5.869 | 4.323 | 1.799 | 7.702 | 3.805 | 0.282 | 0.918 | 0.918 | 0.918 | 4.104 |
CC: p-value | (0.632) | (0.230) | (0.053) | (0.115) | (0.407) | ** | (0.149) | (0.869) | (0.632) | (0.632) | (0.632) | (0.128) |
GARCH-EVT | 0.101 | 2.943 | 2.906 | 2.943 | 0.336 | 1.798 | 4.104 | 0.282 | 1.798 | 0.336 | 0.336 | 3.901 |
CC: p-value | (0.951) | (0.229) | (0.234) | (0.229) | (0.845) | (0.407) | (0.128) | (0.869) | (0.407) | (0.845) | (0.845) | (0.142) |
1000 window | 5% level of significance | |||||||||||
GARCH | 7.265 | 7.271 | 5.615 | 13.737 | 5.504 | 3.471 | 0.855 | 4.771 | 4.994 | 0.738 | 1.233 | 1.874 |
CC: p-value | ** | ** | (0.060) | ** | (0.064) | (0.176) | (0.652) | (0.092) | (0.082) | (0.691) | (0.540) | (0.392) |
EGARCH | 0.747 | 1.102 | 1.102 | 1.807 | 2.579 | 4.068 | 0.996 | 0.348 | 1.878 | 1.699 | 0.544 | 2.354 |
CC: p-value | (0.688) | (0.576) | (0.576) | (0.405) | (0.275) | (0.131) | (0.608) | (0.840) | (0.391) | (0.428) | (0.762) | (0.308) |
GJR-GARCH | 2.224 | 4.771 | 2.579 | 6.006 | 0.751 | 4.210 | 1.454 | 3.434 | 1.861 | 0.831 | 2.896 | 1.874 |
CC: p-value | (0.329) | (0.092) | (0.275) | (0.050) | (0.687) | (0.122) | (0.483) | (0.180) | (0.394) | (0.660) | (0.235) | (0.392) |
APARCH | 4.391 | 4.068 | 2.325 | 1.397 | 2.898 | 4.518 | 1.093 | 2.502 | 0.781 | 1.171 | 1.093 | 2.354 |
CC: p-value | (0.111) | (0.131) | (0.313) | (0.497) | (0.235) | (0.104) | (0.579) | (0.286) | (0.677) | (0.557) | (0.579) | (0.308) |
GARCH-EVT | 10.532 | 7.396 | 5.591 | 6.843 | 6.085 | 14.207 | 3.328 | 4.952 | 1.929 | 0.707 | 5.861 | 3.501 |
CC: p-value | ** | ** | (0.061) | ** | ** | ** | (0.189) | (0.084) | (0.381) | (0.702) | (0.053) | 0.174 |
| 1% level of significance | |||||||||||
GARCH(1, 1) | 3.704 | 1.807 | 0.320 | 0.202 | 0.268 | 0.672 | 3.704 | 0.250 | 3.597 | 2.833 | 0.268 | 3.183 |
CC: p-value | (0.157) | (0.405) | (0.852) | (0.904) | (0.875) | (0.715) | (0.157) | (0.883) | (0.166) | (0.243) | (0.875) | (0.204) |