Bank

Model

Parameter

Estimate

s.e

t-ratio

p-value

Information Criteria

AIC

BIC

HQIC

SKYE

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

$\mu$

−1.36e⁻⁴

5.0e⁻⁶

−25.9283

0.0000

−4.6518

−4.6409

−4.6479

${\phi }_1$

−0.0466

0.0211

−2.2101

0.0271

$\omega$

2.0e⁻⁶

0.0000

67.0558

0.0000

${\alpha }_1$

0.1228

7.675e⁻³

15.9933

0.0000

${\beta }_1$

0.8762

6.665e⁻³

131.4656

0.0000

STERLING

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

$\mu$

0.0000

0.0000

−1.51

0.1310

−5.7621

−5.7401

−5.7541

${\phi }_1$

6.085e⁻³

1.0e⁻⁶

5673.10

0.0000

${\phi }_2$

0.9386

1.58e⁻⁴

5935.97

0.0000

${\theta }_1$

0.2025

3.2e⁻⁵

6283.61

0.0000

${\theta }_2$

−0.7371

1.2e⁻⁴

−6163.17

0.0000

$\omega$

−0.0929

2.74e⁻⁴

−338.38

0.0000

${\alpha }_1$

0.5597

6.7e⁻⁵

8413.54

0.0000

${\beta }_1$

0.9925

1.42e⁻⁴

6970.63

0.0000

${\gamma }_1$

0.5599

6.5e⁻⁵

8667.79

0.0000

UNITY

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

$\mu$

−2.284e⁻³

1.0e⁻⁵

−220.0970

0.0000

−4.2296

−4.2406

−4.2336

${\phi }_1$

0.0559

2.66e⁻⁴

209.9780

0.0000

$\omega$

1.0e⁻⁶

0.0000

3.4940

0.0005

${\alpha }_1$

0.8566

3.888e⁻³

220.3020

0.0000

${\gamma }_1$

0.2175

0.0114

19.0470

0.0000

ZENITH

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

$\mu$

0.0000

0.0000

0.3698

0.7116

−7.0635

−7.0438

−7.0564

${\phi }_1$

0.6094

0.0092

66.5553

0.0000

${\phi }_2$

0.0852

0.0045

18.7897

0.0000

${\theta }_1$

−0.6012

0.0038

−159.8213

0.0000

$\omega$

−0.0960

2.3e⁻⁴

−418.1551

0.0000

${\alpha }_1$

−0.8581

1.05e⁻⁴

−8158.1158

0.0000

${\beta }_1$

0.9903

8.6e⁻⁵

11523.0226

0.0000

${\gamma }_1$

0.8591

1.05e⁻⁴

8183.2788

0.0000