BANK

Model

α₀

α₁

β₁

γ₁

Persistence

Access

ARCH(1)

0.0011

0.1554

N/A

N/A

0.1554

Skye

TARCH(1, 1)

0.000767

0.1740

0.2232

0.3422

0.5683

ETI(Eco)

EGARCH(1, 1)

−3.6952

0.1610

0.3107

0.0445

0.3107

Fidelity

EGARCH(1, 1)

−1.9844

0.4555

0.7570

−0.1049

0.7570

Sterling

ARCH(1)

0.0007

0.6960

N/A

N/A

0.6960

Union

ARCH(1)*

0.0034

0.2381

N/A

N/A

0.2381

UBA

TGARCH(1, 1)

0.0006

0.1485

0.3722

0.2565

0.6490

Guaranty Trust

ARCH(1)

0.0031

0.0818

N/A

N/A

0.0818

Diamond

ARCH(1)

0.001132

0.1494

N/A

N/A

0.1494

Zenith

ARCH(1)*

0.00029

0.7855

N/A

N/A

0.7855