Parameter

AR

LM-AR

MS-AR

MS-LM-AR

HAR

LM-HAR

MS-HAR

MS-LM-HAR

μ

0.0109*** (0.0008)

0.0129** (0.0136)

0.2474*** (0.0334)

−0.0108** (0.0071)

0.0014* (0.0007)

0.0220** (0.0148)

0.0013** (0.0006)

0.0301*** (0.0020)

${\varphi }_D$

0.6752*** (0.1115)

−0.2122* (0.1203)

−0.3303*** (0.1260) /0.9991*** (0.0006)

23.5067*** (1.4247) /−0.1186** (0.0854)

0.2751** (0.1191)

−0.2579** (0.1172)

0.2614** (0.1067) /3.6831*** (0.3317)

−0.2421*** (0.0833) /−75.4524*** (0.8314)

${\varphi }_W$

0.4093*** (0.1360)

−0.1027** (0.1029)

0.3525*** (0.1118)

−0.1713** (0.0823)

${\varphi }_M$

0.2262** (0.1007)

0.0751** (0.0975)

0.2240*** (0.0726)

0.1147** (0.0779)

d

0.5448*** (0.1224)

0.4332*** (0.0089)

0.6107*** (0.1303)

0.6031*** (0.0008)

LLF

12288.40

12749.40

13393.50

14188.00

12692.30

12751.90

14161.40

13647.60

P₁₁/P₂₂

0.6617

/0.9985

0.0000

/0.9976

0.9854

/0.0000

0.9991

/0.0000

Parameter

AR−J

LM−AR−J

MS−AR−J

MS−LM−AR−J

HAR−J

LM−HAR−J

MS−HAR−J

MS−LM−HAR−J

μ

0.0254** (0.0170)

0.1582** (0.1892)

0.0044** (0.0031)

−0.0050** (0.0100)

0.0022** (0.0009)

0.0168** (0.0242)

0.0015** (0.0007)

0.0260** (0.0348)

${\varphi }_D$

0.8624*** (0.1235)

−0.2133* (0.1174)

0.7604*** (0.1109) /4.2173*** (0.3131)

−0.0401** (0.0892) /25.0896*** (1.5332)

0.4597*** (0.1431)

−0.2311* (0.1244)

0.3829*** (0.1196) /3.7245*** (0.3149)

−0.1378* (0.0800) /−93.5260* (195.8920)

${\varphi }_W$

0.3728*** (0.1394)

−0.0659** (0.1055)

0.3312*** (0.1200)

−0.0777** (0.0998)

${\varphi }_M$

0.2011* (0.1046)

0.1488** (0.1084)

0.2103*** (0.0730)

0.1125** (0.0880)

$J_D$

−0.9500*** (0.2805)

−0.6443*** (0.1754)

−0.6177*** (0.1658)

−0.3872*** (0.1200)

−0.7430*** (0.2619)

−0.7669*** (0.2725)

−0.4909*** (0.1520)

−0.5414*** (0.1335)

d

0.6952*** (0.1675)

0.4433*** (0.0078)

0.7511*** (0.2096)

0.5934*** (0.0714)

LLF

12489.00

12888.40

13646.70

14290.20

12831.80

12908.10

14280.00

13766.40

P₁₁/P₂₂

0.9762

/0.0000

0.9977

/0.0000

0.9848

/0.0000

0.9993

/0.0000