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