RET

Model 1

Model 2

Model 3

(ARCH)

(GJR-GARCH)

(HMTAR-GARCH)

(No Threshold)

( τ 1 = τ 2 = 0 )

( τ 1 = 1.4202 ; τ 2 = 1.1655 )

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