| δ | C | AR(1) | AR(4) | MA(1) | MA(5) | Ω | α1 | β1 | φ | γ | δ |
---|---|---|---|---|---|---|---|---|---|---|---|---|
GJR -M1 | −0.01707 | 0.138262 | 0.758611 | 0.071532 | −0.53293 | −0.05708 | 0.061024 | 0.152734 | 0.90498 | – | −0.1138 | – |
 | (0.011206) | (0.127687) | (0.059887) | (0.028938) | (0.070243) | (0.026714) | (0.020114) | (0.01688) | (0.009446) | – | (0.01872) | – |
GJR -M2 | −0.12493 | 0.252579 | 0.757966 | 0.071646 | −0.53252 | − 0.05708 | 0.063384 | 0.151793 | 0.905159 | – | − 0.1141 | – |
 | (0.066946) | (0.135594) | (0.059805) | (0.028851) | (0.070177) | (0.026629) | (0.020165) | (0.016692) | (0.009336) | – | (0.01857) | – |
GJR -M3 | −0.15777 | 0.184332 | 0.754775 | 0.071773 | −0.52984 | −0.05666 | 0.06315 | 0.151475 | 0.906252 | – | −0.1160 | – |
 | (0.078565) | (0.127137) | (0.060031) | (0.028712) | (0.070462) | (0.026597) | (0.01984) | (0.016569) | (0.009157) | – | (0.01840) | – |
APARCH-M1 | −0.03011 | 0.189513 | 0.741602 | 0.066549 | −0.50437 | − 0.06032 | 0.029162 | 0.065429 | 0.939531 | – | −0.7841 | 1.0121 |
 | (0.011153) | (0.120606) | (0.056915) | (0.027478) | (0.067943) | (0.027301) | (0.008198) | (0.007594) | (0.007298) | – | (0.11821) | (0.1362) |
APARCH-M2 | −0.15607 | 0.333815 | 0.735154 | 0.069739 | − 0.49993 | − 0.05877 | 0.030289 | 0.06851 | 0.93594 | – | − 0.7157 | 1.1144 |
 | (0.064421) | (0.132455) | (0.057355) | (0.027481) | (0.068379) | (0.027259) | (0.009412) | (0.008408) | (0.00783) | – | (0.1200) | (0.1502) |
APARCH-M3 | −0.1463 | 0.228257 | 0.726652 | 0.072908 | −0.49291 | −0.05751 | 0.029773 | 0.07136 | 0.933465 | – | − 0.6613 | 1.2000 |
 | (0.071718) | (0.121132) | (0.058073) | (0.027401) | (0.068928) | (0.02723) | (0.010149) | (0.008975) | (0.00815) | – | (0.1159) | (0.1634) |
EGARCH-M1 | −0.03180 | 0.184432 | 0.740065 | 0.068059 | −0.50353 | −0.06014 | − 0.0732 | 0.12471 | 0.988158 | 0.09823 | – | – |
 | (0.01137) | (0.117749) | (0.056588) | (0.027494) | (0.067426) | (0.027228) | (0.011587) | (0.014321) | (0.003097) | (0.01060) | – | – |
EGARCH-M2 | −0.1428 | 0.317678 | 0.732846 | 0.069608 | −0.49802) | −0.05928 | − 0.08167 | 0.132828 | 0.98937 | 0.09598 | – | – |
 | (0.05914) | (0.121551) | (0.057383) | (0.02746) | (0.068276 | (0.027198) | (0.011812) | (0.015118) | (0.00285) | (0.01079) | – | – |
EGARCH-M3 | −0.1095 | 0.219511 | 0.724388 | 0.071589 | −0.49089 | −0.05744 | − 0.08839 | 0.138758 | 0.990784 | 0.09516 | – | – |
 | (0.05682) | (0.112735) | (0.058415) | (0.027348) | (0.069065) | (0.027307) | (0.012083) | (0.01567) | (0.002564) | (0.01082) | – | – |