.

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