9888

GARCH

EGARCH

TGARCH

N

T

ST

N

T

ST

N

T

ST

$\mu$

0.0007

(0.0015)

0.0020

(0.0014)

0.0007

(0.0015)

−0.000025

(0.0015)

0.0013

(0.0015)

−0.00005

(0.0015)

0.0003

(0.0015)

0.0018

(0.0015)

0.0003

(0.0015)

$\omega$

0.0001

(0.0001)

0.0001

(0.0001)

0.0001

(0.0001)

−0.3266

(0.2159)

−0.3038

(0.1013)

−0.3010

(0.0918)

0.0001

( 0.0001)

0.000047

(0.0000)

0.0001

(0.0001)

${\alpha }_1$

0.1525

(0.0435)

0.1462

(0.0704)

0.1572

(0.0518)

−0.0809

(0.0389)

−0.0792

(0.0441)

−0.0886

(0.0433)

0.0718

(0.0670)

0.000001

(0.0536)

0.0813

(0.0772)

${\beta }_1$

0.7605

(0.0693)

0.7610

(0.0944)

0.7590

(0.0725)

0.9505

(0.0321)

0.9551

(0.0150)

0.9547

(0.0137)

0.8071

(0.0828)

0.9043

(0.0694)

0.8004

(0.0890)

${\gamma }_1$

−

−

−

0.2052

(0.0636)

0.1795

(0.0664)

0.1909

(0.0643)

0.0952

(0.0661)

0.1088

( 0.0403)

0.0929

(0.0754)

$\eta$

−

−

0.8041

(0.0528)

−

−

0.8055

(0.0530)

−

−

0.8011

(0.0527)

v

−

7.2754

(2.0033)

8.2487

(3.0918)

−

7.9714

(2.9905)

8.4822

(3.3867)

−

7.0372

(2.2938)

8.1864

(3.0984)

LOG(L)

884.9

890.9

896.3

888.2

893.0

898.4

885.7

891.2

896.9

AIC

−3.8550

−3.8768

−3.8962

−3.8652

−3.8818

−3.9009

−3.8541

−3.8738

−3.8945

BIC

−3.8189

−3.8317

−3.8421

−3.8201

−3.8277

−3.8377

−3.8089

−3.8196

−3.8314