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

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

Normal

t-Stud.

GED

Normal

t-Stud.

GED

Sign bias

0.030*

0.056*

0.039*

0.203*

0.054*

−0.053*

Negative size bias

−0.265*

−0.055*

−0.015*

−0.684*

−0.048*

−0.030*

Positive size bias

0.331*

0.043*

0.111*

0.039

0.036*

0.019*

Joint test (F-test)

2614.8

853.4

9212.3

1115.06

432.36

13409.3

p-value

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)

(0.000)