Window period | Volatility estimator | Wilcoxon estimation | P value | KW estimation | P value |
60 trading days | ARMA-EGARCH-M | 4.871*** | 0.0000 | 23.724*** | 0.0001 |
Parkinson | −3.391*** | 0.0007 | 11.496*** | 0.0007 | |
RSY | −2.126** | 0.0335 | 4.519** | 0.0335 | |
180 trading days | ARMA-EGARCH-M | 8.149*** | 0.0000 | 66.410*** | 0.0001 |
Parkinson | 0.640 | 0.5221 | 0.410 | 0.5221 | |
RSY | 1.099 | 0.2718 | 1.208 | 0.2718 | |
360 trading days | ARMA-EGARCH-M | 11.048*** | 0.0000 | 122.048*** | 0.0001 |
Parkinson | 8.739*** | 0.0000 | 76.370*** | 0.0001 | |
RSY | 8.824*** | 0.0000 | 77.855*** | 0.0001 |