A组：TGARCH模型(阈值 = 1)

变量

系数

标准误差

z统计量

概率

BASIS (−1)

0.506523

0.02134

23.73572

0.0000

BASIS (−2)

0.18675

0.026112

7.151896

0.0000

BASIS (−3)

0.111229

0.026148

4.253791

0.0000

BASIS (−4)

0.098318

0.019828

4.958643

0.0000

方差方程

C

2.43954

0.339729

7.18084

0.0000

ARCH (−1)

0.097472

0.008818

11.0539

0.0000

ARCH (−1) (ARCH < 0)

0.032008

0.012357

2.590224

0.0096

GARCH (−1)

0.878626

0.005763

152.472

0.0000

B组：EGARCH模型

变量

系数

标准误差

z统计量

概率

BASIS (−1)

0.523966

0.020232

25.89788

0.0000

BASIS (−2)

0.190035

0.025218

7.535548

0.0000

BASIS (−3)

0.108924

0.025625

4.250762

0.0000

BASIS (−4)

0.087173

0.019438

4.484547

0.0000

方差方程

${\gamma }_1$

−0.125463

0.011659

−10.76136

0.0000

${\gamma }_2$

0.227905

0.010499

21.7063

0.0000

${\gamma }_3$

−0.026242

0.008261

−3.176769

0.0015

${\gamma }_4$

0.991349

0.001564

633.6638

0.0000