| ARIMA(0,0,1)-EGARCH(1,1) | |||
| Parameter | Normal | t-Student | GED |
| Ω | −0.111(0.000) | −0.122(0.000) | −0.118(0.000) |
| α1 | 0.158(0.000) | 0.167(0.000) | 0.163(0.000) |
| β1 | 0.975(0.000) | 0.978(0.000) | 0.977(0.000) |
| γ1 | −0.088(0.000) | −0.089(0.000) | −0.087(0.000) |
| T-Dist.Dof |
| 10.128(0.000) | 1.546(0.000) |
| Persistence | 0.975 | 0.978 | 0.977 |
| LL | −12159.04 | −12044.66 | −12082.75 |
| Jarque-Bera | 2199.27(0.000) | 2601.59(0.000) | 2397.07(0.000) |
| ARCH(10) | 4.521(0.920) | 3.162(0.977) | 3.647(0.961) |
| Q2(30) | 12.667(0.998) | 13.641(0.995) | 12.869(0.997) |
| ARIMA(0,0,1)-GJR-GARCH(1,1) | |||
| Parameter | Normal | t-Student | GED |
| Ω | 0.040(0.000) | 0.033(0.000) | 0.036(0.000) |
| α1 | 0.023(0.000) | 0.026(0.000) | 0.025(0.000) |
| β1 | 0.891(0.000) | 0.890(0.000) | 0.890(0.000) |
| γ1 | 0.127(0.000) | 0.131(0.000) | 0.128(0.000) |
| T-Dist.Dof |
| 10.198(0.000) | 1.555(0.000) |
| Persistence | 0.9775 | 0.9815 | 0.979 |
| LL | −12155.06 | −12042.88 | −12080.43 |
| Jarque-Bera | 2105.14(0.000) | 2534.87(0.000) | 2308.25(0.000) |
| ARCH(10) | 3.521(0.966) | 4.555(0.918) | 3.989(0.947) |
| Q2(30) | 12.492(0.998) | 15.569(0.986) | 13.923(0.995) |