GARCH(1, 1)

IGARCH(1, 1)

EGARCH(1, 1)

SIGNIFICANCE

Mean equation

C

0.040

(0.020)

0.042

(0.008)

0.047 (0.012)

Y

Variance equation

V

0.005

(0.026)

0.004

(0.075)

−0.264

(0.000)

Y

α

0.193

(0.000)

0.207

(0.002)

0.252

(0.000)

Y

β

0.789

(0.000)

0.793

0.962

(0.000)

Y

γ

0.277

(0.050)

Y