. | GARCH | . | EGARCH | . | IGARCH | . | TGARCH | . | GJR |
μ | −0.000074 | μ | −0.000378 | μ | −0.000074 | μ | −0.000322 | μ | −0.000287 |
ar1 | −1.152015 | ar1 | −1.475760 | ar1 | −1.149651 | ar1 | −1.475475 | ar1 | −1.414132 |
ar2 | −0.328867 | ar2 | −0.990453 | ar2 | −0.327741 | ar2 | −0.990406 | ar2 | −0.935428 |
ma1 | 1.151574 | ma1 | 1.475957 | ma1 | 1.149044 | ma1 | 1.473940 | ma1 | 1.414838 |
ma2 | 0.343494 | ma2 | 1.002337 | ma2 | 0.342293 | ma2 | 1.000491 | ma2 | 0.946654 |
ma3 | 0.029833 | ma3 | 0.016494 | ma3 | 0.029902 | ma3 | 0.016033 | ma3 | 0.021115 |
ma4 | 0.024049 | ma4 | 0.014478 | ma4 | 0.024163 | ma4 | 0.015380 | ma4 | 0.021447 |
omega | 0.000001 | omega | −0.023329 | omega | 0.000001 | omega | 0.000053 | omega | 0.000001 |
alpha1 | 0.048755 | alpha1 | −0.055690 | alpha1 | 0.050463 | alpha1 | 0.036867 | alpha1 | 0.003159 |
beta1 | 0.948916 | beta1 | 0.997140 | beta1 | 0.949537 | beta1 | 0.969347 | beta1 | 0.968482 |
. | . | γ1 | 0.064968 | γ1 | . | etal1 | 0.775855 | γ1 | 0.053914 |
shape | 6.546236 | shape | 7.645430 | shape | 6.337109 | shape | 7.255139 | shape | 7.638457 |