Variable | GARCH (1, 1) | GARCH-MEAN (1, 1) | EGARCH (1, 1) |
Mean Equation | |||
Λ | 0.002688 (0.0238)** | 0.011773 (0.0888)* | 0.003084 (0.0184)** |
δ | 0.74664 (0.0000)*** | 0.715574 (0.0000)*** | 0.757919 (0.0000)*** |
Γ | 0.005732 (0.0267)** | 0.005499 (0.0295)** | 0.005949 (0.0202)** |
η1 | 0.033167 (0.0000)*** | 0.032872 (0.0000)*** | 0.033322 (0.0000)*** |
η2 | 0.00528 (0.0415)** | 0.00497 (0.0404)** | 0.005612 (0.0436)** |
Ø | 0.000687 (0.1841) | ||
Variance Equation | |||
∂ | 0.00000484 (0.0774)* | 0.00000461 (0.0782)* | 1.363097 (0.0073)** |
Θ | 0.356428 (0.0289)** | 0.339999 (0.0257)** | |
Ρ | 0.597764 (0.0000)*** | 0.619591 (0.0000)*** | |
α | 0.223355 (0.0911)* | ||
ß | 0.888288 (0.0000)*** | ||
τ | 0.230081 (0.0137)** | ||
Diagnostics | |||
Information Criteria | |||
SIC | −7.477011 | −7.454373 | −7.490884 |
AIC | −7.618571 | −7.611662 | −7.648173 |
HQ | −7.561368 | −7.548103 | −7.584614 |
Adjusted R-squared | 0.495111 | 0.50106 | 0.495087 |
Correlogram Q statistics | |||
Q-Statistics (Lag 1) | 0.0711 (0.790) | 0.4776 (0.490) | 0.0552 (0.814) |
Q-Statistics (Lag 15) | 11.956 (0.682) | 17.589 (0.285) | 9.6633 (0.840) |
Q-Statistics (Lag 36) | 36.905 (0.427) | 38.006 (0.378) | 35.038 (0.514) |
Correlogram Squared Residuals | |||
Q-Statistics (Lag 1) | 0.0416 (0.838) | 0.6248 (0.429) | 0.0015 (0.969) |
Q-Statistics (Lag 15) | 7.7519 (0.933) | 10.049 (0.817) | 9.5627 (0.846) |
Q-Statistics (Lag 36) | 13.883 (1.000) | 19.935 (0.986) | 23.972 (0.938) |
Heteroskedasticity | |||
ARCH-LM (Lag 1) | |||
F-Stat | 0.040434 (0.8408) | 0.610184 (0.4356) | 0.001466 (0.9695) |
NR2 | 0.04081 (0.8399) | 0.614191 (0.4332) | 0.001479 (0.9693) |
ARCH-LM (Lag 15) | |||
F-Stat | 0.463764 (0.9558) | 0.727575 (0.7545) | 0.7664 (0.7134) |
NR2 | 7.287646 (0.9492) | 11.19988 (0.7383) | 11.76222 (0.6969) |
ARCH-LM (Lag 36) | |||
F-Stat | 0.306398 (1.0000) | 0.606868 (0.9589) | 0.688864 (0.9035) |
NR2 | 12.9145 (0.9999) | 23.88011 (0.9393) | 26.62403 (0.8725) |