Table 7 ARMA-GARCH estimation of realised volatility for 5- and 15-min intervals

C

− 5.200

− 16.66***

− 4.190

− 13.35***

− 5.583

− 23.92***

− 4.192

− 14.42***

\({\varvec{DTHC}}\)

0.587

3.42***

0.555

3.44***

0.517

2.49**

0.599

3.62***

\({\varvec{DUR}}\)

0.014

3.43***

0.015

3.97***

0.015

5.01***

0.014

3.96***

AR(1)

0.255

6.27***

0.267

6.25***

0.351

9.45***

0.253

6.73***

AR(2)

0.142

3.60***

0.124

3.25***

0.235

5.87***

0.114

2.76***

AR(3)

0.640

8.13***

0.637

7.89***

–

–

0.076

1.94*

AR(4)

− 0.116

− 2.16**

− 0.091

− 1.59

0.116

3.04***

0.456

6.92***

MA(3)

− 0.574

− 6.44***

− 0.587

− 6.76***

0.133

3.08***

–

–

MA(4)

–

–

–

–

–

–

− 0.400

− 5.95***

Variance Equation

C

0.013

2.10**

0.018

2.22**

0.005

1.61

0.020

1.80*

RESID(-1)²

0.083

3.85***

0.109

3.97***

0.015

1.67*

0.088

3.17***

GARCH(-1)

0.905

42.13***

0.873

32.05***

0.976

104.56***

0.889

28.68***

T-DIST. DOF

–

–

–

–

10.653

2.39**

10.970

2.14**

Adj. R²

0.4141

0.4363

0.5238

0.4561

ARCH-LM Stat

0.1185

0.2368

0.1136

0.1001