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)