BANK | Model | α0 | α1 | β1 | γ1 | Persistence |
Access | EGARCH(1, 1) | −1.2458 | 0.4779 | 0.8796 | −0.0009 | 0.8796 |
Skye | EGARCH(1, 1) | −1.4314 | 0.5471 | 0.8596 | −0.0006 | 0.8596 |
ETI(Eco) | EGARCH(1, 1) | −0.8781 | −0.2283 | 0.7941 | −0.2981 | 0.7941 |
Fidelity | EGARCH(1, 1) | −2.1260 | 0.7405 | 0.7888 | −0.0504 | 0.7888 |
Sterling | GARCH(1, 1) | 0.000098 | 0.3951 | 0.5381 | N/A | 0.9332 |
Union | EGARCH(1, 1) | −0.9387 | 0.6121 | 0.9312 | 0.1130 | 0.9312 |
UBA | ARCH(1) | 0.0006 | 1.0603 | N/A | N/A | 1.0603>1 |
Guaranty Trust | EGARCH(1, 1) | −1.8886 | 0.7129 | 0.8060 | 0.1487 | 0.8060 |
Diamond | GARCH(1, 1) | 0.000056 | 0.2408 | 0.7154 | N/A | 0.9562 |
Zenith | EGARCH(1, 1) | −1.3452 | 0.7598 | 0.8827 | −0.3711 | 0.8827 |