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