EGARCH | 7.823 | 1.173 | 1.147 | 1.173 | 0.563 | 1.835 | 2.669 | 0.547 | 3.704 | 0.343 | 0.343 | 3.704 |
CC: p-value | ** | (0.556) | (0.564) | (0.556) | (0.755) | (0.399) | (0.263) | (0.761) | (0.157) | (0.842) | (0.842) | (0.157) |
GJR-GARCH | 2.669 | 0.672 | 0.320 | 0.672 | 0.563 | 0.343 | 2.669 | 0.250 | 0.672 | 0.672 | 0.563 | 3.183 |
CC: p-value | (0.263) | (0.715) | (0.852) | (0.715) | (0.755) | (0.842) | (0.263) | (0.883) | (0.715) | (0.715) | (0.755) | (0.204) |
APARCH | 2.833 | 0.672 | 0.320 | 0.343 | 0.268 | 1.173 | 2.833 | 0.547 | 3.183 | 0.343 | 0.202 | 3.704 |
CC: p-value | (0.243) | (0.715) | (0.852) | (0.842) | (0.875) | (0.556) | (0.243) | (0.761) | (0.204) | (0.842) | (0.904) | (0.157) |
GARCH-EVT | 2.973 | 0.672 | 0.249 | 0.268 | 0.563 | 0.563 | 2.833 | 0.547 | 1.173 | 0.268 | 0.268 | 2.833 |
CC: p-value | (0.226) | (0.715) | (0.883) | (0.875) | (0.755) | (0.755) | (0.243) | (0.761) | (0.556) | (0.875) | (0.875) | (0.243) |