Table 8 Estimated result of GARCH (1,1) Model

μ (constant)

−4.30E − 05^c

−0.002299^b

8.02E-05^c

0.000215^c

-0.00044^c

0.000251^c

0.000436^c

−5.84E − 05^b

 ω (constant)

5.01E − 06^b

0.000315^b

2.34E-06^b

1.72E-06^b

5.14E-05^b

1.60E-06^b

1.35E-06^b

4.82E-06^b

 α (arch effect)

0.099648^b

-0.003595^b

0.032133^b

0.030668^b

-0.00364^b

0.071647^b

0.084121^b

0.217631^b

 β (garch effect)

0.891336^b

0.856938^b

0.960178^b

0.962725^b

0.9111^b

0.917732^b

0.903237^b

0.775297^b

 α + β

0.990984

0.853343

0.992311

0.993393

0.90746

0.989379

0.987358

0.992928

 Log likelihood

5376.339

3241.84

5582.369

5772.936

4778.326

4315.175

3862.321

4295.068

 Akaike info. Criterion (AIC)

−5.384801

−3.307962

−5.30673

−5.464648

−4.6343

−6.45236

−6.75537

−6.61537

 Schwarz info. Criterion (SIC)

−5.370770

−3.293707

−5.29329

−5.451254

−4.62063

−6.43291

−6.73330

−6.59545

 Obs^a R-squared

1.204135

0.025106

0.264945

0.057879

0.003309

2.001935

0.12552

0.617633

 Prob. Chi-Square(1)

0.2725

0.8741

0.6067

0.8099

0.9541

0.1571

0.7231

0.4319

 F-statistic

1433.702

1191.443

1497.929

1524.253

2935.317

10.09822

9.188416

3.26E-34^a

 Probability

0.000

0.000

0.000

0.000

0.000

0.0015

0.0025

1.000