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Table 2 Parameter estimate of standard asymmetric GARCH

From: Asymmetric GARCH type models for asymmetric volatility characteristics analysis and wind power forecasting

 

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)

–

–