| Parameters | CDX.NA.IG | S & P500 | VIX |
| μ | −0.001217 (0.0000) | 0.000649 (0.0000) | 0.00007 (0.0000) |
| α0 | 0.000019 (0.0000) | 0.000001 (0.0000) | 0.000435 (0.0034) |
| α1 | 0.126910 (0.0000) | 0.100361 (0.0012) | 0.170195 (0.0001) |
| β | 0.860450 (0.0000) | 0.887245 (0.0000) | 0.744291 (0.0000) |
| η | 2.0006 (0.0000) | 3.9225 (0.0001) | 3.6960 (0.0000) |
| λ | 0.0956 (0.0000) | −0.0651 (0.0000) | 0.1580 (0.0000) |
| Q-test (1) | (0.1954) | (0.1128) | (0.0665) |
| Q-test (3) | (0.1623) | (0.1654) | (0.1420) |
| Q-test (5) | (0.2158) | (0.2067) | (0.2689) |
| Q2-test (1) Q2-test (3) Q2-test (5) K-S test | (0.0986) (0.1247) (0.2985) (0.3779) | (0.0863) (0.1346) (0.1651) (0.2065) | (0.1642) (0.1369) (0.3436) (0.6842) |