Bank | Model | Parameter | Estimate | s.e | t-ratio | p-value | Information Criteria | ||
AIC | BIC | HQIC | |||||||
SKYE | ARIMA(1,1,0)-GARCH(1,1)-norm |
| −2.6e−5 | 1.1e−5 | −2.3973 | 0.0165 | −4.5293 | −4.5183 | −4.5253 |
| 3.87e−4 | 0.0214 | 0.0181 | 0.9855 | |||||
| 2.0e−6 | 0.0000 | 73.3223 | 0.0000 | |||||
| 0.1305 | 7.996e−3 | 16.3261 | 0.0000 | |||||
| 0.8685 | 6.671e−3 | 130.1908 | 0.0000 | |||||
STERLING | ARIMA(2,1,0)-EGARCH(1,1)-norm |
| −2.89e−4 | 1.57e−4 | −1.8335 | 0.06673 | −4.3888 | −4.3734 | −4.3832 |
| −0.0190 | 0.0102 | −1.8642 | 0.0623 | |||||
| 0.0298 | 5.205e−3 | 5.7258 | 0.0000 | |||||
| −0.0943 | 1.607e−3 | −58.7069 | 0.0000 | |||||
| −0.0734 | 4.024e−3 | −18.2286 | 0.0000 | |||||
| 0.9859 | 1.7e−5 | 5863.5496 | 0.0000 | |||||
| 0.0975 | 3.588e−3 | 27.1638 | 0.0000 | |||||
UNITY | ARIMA(0,1,1)- GARCH (1,1)-norm |
| 1.38e−4 | 1.9e−5 | 7.1606 | 0.0000 | −4.8711 | −4.8601 | −4.8671 |
| 0.1009 | 0.0236 | 4.2767 | 1.9e−5 | |||||
| 4.0e−6 | 0.0000 | 115.7800 | 0.0000 | |||||
| 0.2368 | 0.0117 | 20.2352 | 0.0000 | |||||
| 0.7622 | 7.927e−3 | 96.1509 | 0.0000 | |||||
ZENITH | ARIMA(2,1,1)-EGARCH(1,1)-std |
| 0.0000 | 0.0000 | 1.2065 | 0.2276 | −7.0189 | −6.9992 | −7.0118 |
| −0.3086 | 0.0106 | −29.0801 | 0.0000 | |||||
| 0.0495 | 0.0171 | 2.8972 | 0.0038 | |||||
| 0.2912 | 0.0105 | 27.7875 | 0.0000 | |||||
| −0.0291 | 8.62e−4 | −33.7888 | 0.0000 | |||||
| −0.6979 | 9.8e−5 | −7150.4179 | 0.0000 | |||||
| 0.9996 | 6.3e−5 | 15825.7924 | 0.0000 | |||||
| 0.6983 | 9.8e−5 | 7147.6333 | 0.0000 |