参数

ARMA-GARCH

ARMA-TGARCH

L₁

L₂

L₁

L₂

均值方程

AR (1)

0.548 [2212.94]

0.670 [1914.77]

0.433 [1605.62]

0.525 [207.02]

MA (1)

-

-

-

-

C

-

-

-

-

方差方程

C

0.002 [0.21]

0.003 [0.20]

0.001 [0.92]

0.001 [0.08]

残差值(−1)²

0.016 [0.21]

0.252 [0.04]

0.076 [0.67]

0.878 [0.14]

残差值(−1)²*(残差值(−1) < 0)

-

-

0.088 [0.52]

0.679 [0.08]

GARCH (−1)²

0.468 [0.18]

1.264 [129.36]

0.580 [1.56]

1.193 [114.39]

GED参数

0.017 [311.99]

0.017 [239.34]

0.017 [307.88]

0.017 [242.50]

瓦特森检验(D-W)统计量

1.92

2.09

1.63

1.82

AIC准则

−9.06

−10.32

−8.81

−9.23

SC准则

−8.95

−10.21

−8.68

−9.09