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

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

Normal

t-Student

GED

Normal

t-Student

GED

Bad News

1.088

1.089

1.089

0.150

0.157

0.153

Good News

1.012

0.911

0.913

0.023

0.026

0.025