Panel A: GARCH(1, 1) estimations |
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Parameters | FENY | FXN | IEO | IXC | IYE | NANR | OIH | VDE | XLE | |
µ | −0.047 | 0.015 | 0.033 | 0.015 | 0.019 | 0.010 | 0.019 | 0.013 | 0.018 | |
ω | 0.015 | 0.019* | 0.023* | 0.013* | 0.017* | −0.005 | 0.007 | 0.016* | 0.014* | |
α | 0.082* | 0.074* | 0.075* | 0.071* | 0.074* | 0.010 | 0.049* | 0.070* | 0.066* | |
β | 0.909* | 0.923* | 0.919* | 0.922* | 0.918* | 0.991* | 0.949* | 0.923* | 0.927* | |
b3 | −0.397* | −0.540* | −0.455* | −0.713* | −0.612* | −0.096* | −0.395* | −0.545* | 0.479* | |
b4 | 4.590* | 3.316* | 2.726* | 4.553* | 3.472* | 3.868* | 2.865* | 2.038* | 1.794* | |
Q(20) | 13.347 | 21.686 | 20.569 | 15.771 | 21.936 | 11.650 | 19.381 | 19.848 | 21.204 | |
Q2(20) | 13.364 | 36.337 | 29.700 | 26.797 | 16.008 | 14.693 | 10.128 | 10.291 | 11.507 | |
Panel B: IGARCH(1, 1) estimations |
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Parameters | FENY | FXN | IEO | IXC | IYE | NANR | OIH | VDE | XLE | |
µ | −0.048 | 0.014 | 0.033 | 0.014 | 0.022 | 0.009 | 0.101 | 0.058 | 0.119 | |
ω | 0.012* | 0.017* | 0.018* | 0.010* | 0.012* | −0.005* | 0.184* | 1.071* | 1.146* | |
β | 0.911* | 0.924* | 0.919* | 0.924* | 0.920* | 0.989* | 0.634* | 0.020* | 0.081* | |
d | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | 1.000 | |
b3 | −0.433* | −0.542* | −0.461* | −0.725* | −0.617* | −0.117* | 0.064* | −0.664* | 1.018* | |
b4 | 4.676* | 3.363* | 2.766* | 4.622* | 3.569* | 3.863* | 2.752* | 2.662* | 4.687* | |
Q(20) | 13.054 | 21.622 | 20.304 | 15.697 | 21.695 | 11.474 | 15.700 | 21.394 | 28.173 | |
Q2(20) | 13.093 | 35.714 | 29.500 | 25.720 | 15.452 | 14.623 | 13.457 | 12.273 | 60.278 | |
Panel C: FIGARCH(1, 1) estimations |
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Parameters | FENY | FXN | IEO | IXC | IYE | NANR | OIH | VDE | XLE | |
µ | −0.002* | 0.015 | 0.030 | 0.013 | 0.021 | 0.002 | 0.035 | 0.054 | 0.080 | |
ω | 0.020* | 0.040 | 0.023* | 0.017* | 0.015* | −0.018 | −0.274* | −0.309 | −0.130 | |
β | 0.507* | 0.524* | 0.896* | 0.870* | 0.901* | 0.338* | 0.017 | 0.116 | 0.015 | |
d | 0.484* | 0.575* | 0.950* | 0.899* | 0.962* | 0.341* | 0.103* | 0.134* | 0.115 | |
b3 | −0.519* | −0.613* | −0.473* | −0.721* | −0.624* | −0.242* | −0.263* | −0.629* | 0.697 | |
b4 | 5.299* | 3.878* | 2.810* | 4.639* | 3.640* | 3.297* | 2.707* | 1.786* | 2.399 | |
Q(20) | 13.231 | 22.633 | 19.761 | 14.784 | 21.376 | 10.468 | 20.817 | 23.704 | 26.763 | |
Q2(20) | 11.424 | 31.403 | 28.798 | 21.429 | 15.818 | 19.793 | 13.914 | 12.146 | 22.960 | |