模型 | N. of par | MSE | Rank | MAE | Rank | QLIKE | Rank | R2LOG | Rank |
GARCH-N | 4 | 1.0456 | 7 | 0.8085 | 9 | 1.5526 | 9 | 7.5204 | 10 |
GARCH-T | 5 | 1.0223 | 2 | 0.8033 | 2 | 1.5370 | 3 | 6.9298 | 1 |
EGARCH-N | 5 | 1.1173 | 10 | 0.8084 | 8 | 2.1018 | 10 | 7.5018 | 9 |
EGARCH-T | 5 | 1.0678 | 8 | 0.8076 | 7 | 1.5379 | 4 | 7.4768 | 6 |
GJR-GARCH-N | 5 | 1.0679 | 9 | 0.8143 | 10 | 1.5524 | 8 | 7.4829 | 7 |
GJR-GARCH-T | 6 | 1.0546 | 5 | 0.8065 | 5 | 1.5515 | 6 | 7.4701 | 5 |
MRS-GARCH-N | 10 | 1.0140 | 1 | 0.7679 | 1 | 1.5250 | 1 | 7.4483 | 2 |
MRS-GARCH-T | 11 | 1.0334 | 3 | 0.8049 | 3 | 1.5355 | 2 | .45547 | 4 |
MRS-GARCH-GED | 11 | 1.0358 | 4 | 0.8061 | 4 | 1.5498 | 5 | 7.4553 | 3 |
MRS-GARCH-T2 | 12 | 1.0550 | 6 | 0.8075 | 6 | 1.5517 | 7 | 7.4859 | 8 |