0700

GARCH

EGARCH

TGARCH

N

T

ST

N

T

ST

N

T

ST

$\mu$

0.0005

(0.0011)

0.0017

(0.0011)

0.0006

(0.0012)

0.0000

(0.0004)

0.0013

(0.0009)

0.000027

(0.0011)

0.0002

(0.0012)

0.0015

(0.0011)

0.0002

(0.0012)

$\omega$

0.0001

(0.0000)

0.0001

(0.0000)

0.0001

(0.0000)

−0.3665

(0.1614)

−0.2674

(0.0067)

−0.3081

(0.0099)

0.0001

( 0.0000)

0.0001

(0.0000)

0.0001

(0.0000)

${\alpha }_1$

0.1494

(0.0377)

0.0858

(0.0363)

0.0923

(0.0361)

−0.0860

(0.0405)

−0.1277

(0.0324)

−0.1322

(0.0283)

0.0967

(0.0513)

0.0194

(0.0527)

0.0116

(0.0461)

${\beta }_1$

0.7789

(0.0514)

0.8091

(0.0684)

0.8078

(0.0640)

0.9470

(0.0226)

0.9631

(0.0001)

0.9565

(0.0001)

0.7826

(0.0532)

0.8501

(0.0702)

0.8543

(0.0601)

${\gamma }_1$

−

−

−

0.2001

(0.0623)

0.0383

(0.0092)

0.0747

(0.0182)

0.0835

(0.0677)

0.0800

( 0.0565)

0.1054

(0.0568)

$\eta$

−

−

0.8691

(0.0506)

−

−

0.8540

(0.0515)

−

−

0.8528

(0.0509)

v

−

4.7898

(0.9897)

5.0573

(1.1091)

−

4.7887

(0.9665)

5.0514

(1.1015)

−

4.8043

(0.9790)

5.0626

(1.1009)

LOG(L)

1096.4

1120.7

1123.5

1100.8

1124.7

1127.9

1097.2

1121.5

1125.0

AIC

−4.2757

−4.3668

−4.3739

−4.2887

−4.3786

−4.3872

−4.2747

−4.3660

−4.3756

BIC

−4.2425

−4.3254

−4.3242

−4.2473

−4.3288

−4.3292

−4.2332

−4.3163

−4.3176