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

Parameter

Normal

Student’s-t

GED

ω

0.037(0.000)

0.025(0.000)

0.030(0.000)

α₁

0.096(0.000)

0.095(0.000)

0.096(0.000)

β₁

0.885(0.000)

0.894(0.000)

0.890(0.000)

D.O.F = 9.056 (0.000)

PAR = 1.499(0.000)

Persistence

0.981

0.989

0.986

LL

−12245.51

−12112.3

−12148.7

Jarque-Bera

2610.0(0.000)

3408.1(0.000)

2982.4(0.000)

ARCH(10)

2.783(0.986)

3.034(0.980)

2.911(0.983)

Q²( 30)

12.142(0.998)

16.335(0.980)

14.439(0.993)