RET | Model 1 | Model 2 | Model 3 | ||||||
(ARCH) | (GJR-GARCH) | (HMTAR-GARCH) | |||||||
(No Threshold) | ( ) | ( ) | |||||||
Coeff. | t-stat | Coeff. | t-stat | Coeff. | t-stat | ||||
Mean Equation: | |||||||||
ζ0 | 0.0041 | 0.5877 | 0.0044 | 0.6355 | 0.0049 | 0.7071 | |||
ζ1 | −0.4212 | −26.7077 | *** | −0.4232 | −26.9314 | *** | −0.4093 | −26.0514 | *** |
ζ2 | 0.5819 | 38.8885 | *** | 0.5904 | 30.0805 | *** | 0.4208 | 5.662 | *** |
ζ3 | −0.2164 | −3.4728 | *** | 0.0094 | 0.3615 | 0.1793 | 2.4352 | ** | |
ζ4 | −0.0309 | −1.1802 | −0.2639 | −4.8958 | *** | ||||
ζ5 | 0.0322 | 0.5865 | 0.0164 | 0.2747 | |||||
ζ6 | −0.0792 | −0.6917 | −0.2375 | −2.9419 | *** | ||||
ζ7 | −0.1343 | −1.1317 | 0.2789 | 1.6334 | * | ||||
Variance Equation: | |||||||||
θ0 | 0.0025 | 5.5391 | *** | 0.0025 | 5.4008 | *** | 0.002 | 4.8943 | *** |
ν1 | 0.9405 | 217.289 | *** | 0.9412 | 211.21 | *** | 0.9466 | 235.8294 | *** |
θ1 | 0.053 | 13.6055 | *** | 0.0525 | 13.2126 | *** | 0.0488 | 13.2596 | *** |
η1 | −0.0014 | −0.6734 | −0.0040 | −1.1717 | −0.1201 | −4.5597 | *** | ||
η2 | −0.0646 | −3.4636 | *** | −0.0025 | −0.4837 | 0.119 | 4.5505 | *** | |
η3 | 0.0089 | 1.3767 | * | −0.0012 | −0.0748 | ||||
η4 | −0.0242 | −0.7131 | 0.0321 | 0.7343 | |||||
η5 (H1) | −0.0814 | −1.2785 | −0.0668 | −1.9357 | ** | ||||
η6 (H2) | 0.0297 | 0.6768 | −0.1366 | −1.6298 | * | ||||
AIC | −516.4206 | −498.8721 | −553.2718 | ||||||
SBC | −525.7901 | −524.2416 | −578.6419 | ||||||
LL | 267.2103 | 266.436 | 293.6359 |