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)