参数

GARCH模型

EGARCH模型

GJR-GARCH

N

T

N

T

N

T

0.0188

0.0293

0.0191

0.0289^*

0.0145

0.0270

(0.0190)

(0.0175)

(0.0115)

(0.0145)

(0.0193)

(0.0177)

0.0219^**

0.0129^**

0.0162^**

0.0055^*

0.02144^**

0.0126^*

(0.0049)

(0.0115)

(0.0023)

(0.0024)

(0.049)

(0.0047)

0.0824^**

0.0852^**

0.0189^*

0.0116

0.0747^**

0.0805^**

(0.0083)

(0.0115)

(0.0076)

(0.0093)

(0.0098)

(0.0122)

0.9091^**

0.0914^**

0.982^**

0.9902^**

0.9103^**

0.9143^**

(0.0088)

(0.0115)

(0.0011)

(0.0114)

(0.0088)

(0.0100)

－

－

0.0181^**

0.1855^**

0.0128

0.0083

－

－

(0.0137)

(0.0177)

(0.0102)

(0.0125)

－

6. 6729^**

－

6.4891^**

－

6.6809^**

－

(0.0115)

－

(0.7083)

－

(0.7450)

AIC

3.3759

3.3396

3.3789

3.3424

3.3761

3.3401

LM(3)

0.8793

0.8308

1.5462

1.3091

1.0654

0.9173

LM(5)

1.2397

1.0782

2.0361

1.6583

1.4516

1.1640

LM(7)

2.3227

1.8560

3.0362

2.4117

2.4201

1.8796