. | GARCH | . | EGARCH | . | IGARCH | . | TGARCH | . | GJR |
μ | −0.000251 | μ | 1.04682 | μ | −0.000255 | μ | −0.000720 | μ | −0.000576 |
ar1 | −0.323653 | ar1 | 0.11040 | ar1 | −0.323667 | ar1 | −0.351039 | ar1 | −0.350779 |
ar2 | −0.987638 | ar2 | 0.10861 | ar2 | −0.987639 | ar2 | −0.989692 | ar2 | −0.991159 |
ma1 | 0.349572 | ma1 | 0.40827 | ma1 | 0.349564 | ma1 | 0.369471 | ma1 | 0.373420 |
ma2 | 1.017209 | ma2 | 0.05510 | ma2 | 1.017128 | ma2 | 1.006488 | ma2 | 1.007623 |
ma3 | 0.029357 | ma3 | 0.50047 | ma3 | 0.029320 | ma3 | 0.023553 | ma3 | 0.026635 |
ma4 | 0.008236 | ma4 | 0.03617 | ma4 | 0.008168 | ma4 | 0.001602 | ma4 | 0.000316 |
omega | 0.000001 | omega | 0.66694 | omega | 0.000001 | omega | 0.000072 | omega | 0.000001 |
alpha1 | 0.055658 | alpha1 | 0.29317 | alpha1 | 0.057194 | alpha1 | 0.039121 | alpha1 | 0.000000 |
beta1 | 0.942370 | beta1 | 0.73588 | beta1 | 0.942806 | beta1 | 0.966937 | beta1 | 0.967021 |
. | . | γ1 | 0.13412 | γ1 | . | etal1 | 0.815349 | γ1 | 0.063959 |