评级变动

EGARCH gaussian

GJRGARCH

EGARCH auto correlated returns

评级上调

t

0.016 (0.83)

0.021 (1.01)

0.027 (0.99)

t − 1

0.028 (0.70)

0.044 (0.074)

0.029 (0.59)

t − 2

−0.011 (−0.60)

−0.022 (−0.77)

−0.015 (−0.068)

评级下调

t

0.019*** (2.33)

0.015 (1.01)

0.025** (2.26)

t − 1

0.064** (3.78)

0.081** (3.96)

0.070*** (3.94)

t − 2

0.005 (3.34)

0.009 (0.59)

0.008 (0.54)

波动滞后项

0.961*** (272.97)

0.960*** (138.86)

0.977*** (150.72)

R²

0.947

0.959

0.948