Bank

Model

Parameter

Estimate

s.e

t-ratio

p-value

Information Criteria

AIC

BIC

HQIC

SKYE

ARIMA(1,1,0)-GARCH(1,1)-norm

μ

−2.6e−5

1.1e−5

−2.3973

0.0165

−4.5293

−4.5183

−4.5253

φ 1

3.87e−4

0.0214

0.0181

0.9855

ω

2.0e−6

0.0000

73.3223

0.0000

α 1

0.1305

7.996e−3

16.3261

0.0000

β 1

0.8685

6.671e−3

130.1908

0.0000

STERLING

ARIMA(2,1,0)-EGARCH(1,1)-norm

μ

−2.89e−4

1.57e−4

−1.8335

0.06673

−4.3888

−4.3734

−4.3832

φ 1

−0.0190

0.0102

−1.8642

0.0623

φ 2

0.0298

5.205e−3

5.7258

0.0000

ω

−0.0943

1.607e−3

−58.7069

0.0000

α 1

−0.0734

4.024e−3

−18.2286

0.0000

β 1

0.9859

1.7e−5

5863.5496

0.0000

γ 1

0.0975

3.588e−3

27.1638

0.0000

UNITY

ARIMA(0,1,1)- GARCH (1,1)-norm

μ

1.38e−4

1.9e−5

7.1606

0.0000

−4.8711

−4.8601

−4.8671

θ 1

0.1009

0.0236

4.2767

1.9e−5

ω

4.0e−6

0.0000

115.7800

0.0000

α 1

0.2368

0.0117

20.2352

0.0000

β 1

0.7622

7.927e−3

96.1509

0.0000

ZENITH

ARIMA(2,1,1)-EGARCH(1,1)-std

μ

0.0000

0.0000

1.2065

0.2276

−7.0189

−6.9992

−7.0118

φ 1

−0.3086

0.0106

−29.0801

0.0000

φ 2

0.0495

0.0171

2.8972

0.0038

θ 1

0.2912

0.0105

27.7875

0.0000

ω

−0.0291

8.62e−4

−33.7888

0.0000

α 1

−0.6979

9.8e−5

−7150.4179

0.0000

β 1

0.9996

6.3e−5

15825.7924

0.0000

γ 1

0.6983

9.8e−5

7147.6333

0.0000