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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

 δCAR(1)AR(4)MA(1)MA(5)Ωα1β1φγδ
GJR -M1−0.017070.1382620.7586110.071532−0.53293−0.057080.0610240.1527340.90498−0.1138
 (0.011206)(0.127687)(0.059887)(0.028938)(0.070243)(0.026714)(0.020114)(0.01688)(0.009446)(0.01872)
GJR -M2−0.124930.2525790.7579660.071646−0.53252− 0.057080.0633840.1517930.905159− 0.1141
 (0.066946)(0.135594)(0.059805)(0.028851)(0.070177)(0.026629)(0.020165)(0.016692)(0.009336)(0.01857)
GJR -M3−0.157770.1843320.7547750.071773−0.52984−0.056660.063150.1514750.906252−0.1160
 (0.078565)(0.127137)(0.060031)(0.028712)(0.070462)(0.026597)(0.01984)(0.016569)(0.009157)(0.01840)
APARCH-M1−0.030110.1895130.7416020.066549−0.50437− 0.060320.0291620.0654290.939531−0.78411.0121
 (0.011153)(0.120606)(0.056915)(0.027478)(0.067943)(0.027301)(0.008198)(0.007594)(0.007298)(0.11821)(0.1362)
APARCH-M2−0.156070.3338150.7351540.069739− 0.49993− 0.058770.0302890.068510.93594− 0.71571.1144
 (0.064421)(0.132455)(0.057355)(0.027481)(0.068379)(0.027259)(0.009412)(0.008408)(0.00783)(0.1200)(0.1502)
APARCH-M3−0.14630.2282570.7266520.072908−0.49291−0.057510.0297730.071360.933465− 0.66131.2000
 (0.071718)(0.121132)(0.058073)(0.027401)(0.068928)(0.02723)(0.010149)(0.008975)(0.00815)(0.1159)(0.1634)
EGARCH-M1−0.031800.1844320.7400650.068059−0.50353−0.06014− 0.07320.124710.9881580.09823
 (0.01137)(0.117749)(0.056588)(0.027494)(0.067426)(0.027228)(0.011587)(0.014321)(0.003097)(0.01060)
EGARCH-M2−0.14280.3176780.7328460.069608−0.49802)−0.05928− 0.081670.1328280.989370.09598
 (0.05914)(0.121551)(0.057383)(0.02746)(0.068276(0.027198)(0.011812)(0.015118)(0.00285)(0.01079)
EGARCH-M3−0.10950.2195110.7243880.071589−0.49089−0.05744− 0.088390.1387580.9907840.09516
 (0.05682)(0.112735)(0.058415)(0.027348)(0.069065)(0.027307)(0.012083)(0.01567)(0.002564)(0.01082)