Table 2 Estimation results of GARCH and APARCH models with normal distribution

μ

−0.000226

−0.000221

−0.000187**

−3.93E-06

0.000107

0.000226

(0.000286)

(0.000294)

(0.000277)

(0.000219)

(0.000231)

(0.000235)

ρ ₁

0.193417*

0.140156**

0.224911*

0.176892*

(0.054895)

(0.058168)

(0.045801)

(0.047702)

ρ ₂

0.219073*

0.191613*

(0.069243)

(0.054318)

η

2.33E-06***

2.37E-06***

2.52E-06***

2.52E-05

3.22E-05

2.48E-05

(1.22E-06)

(1.31E-06)

(1.36E-06)

(3.80E-05)

(4.72E-05)

(3.97E-05)

α

0.180840*

0.182424*

0.208203*

0.175477*

0.167971*

0.180086*

(0.033305)

(0.035090)

(0.044322)

(0.032685)

(0.032557)

(0.038836)

γ

−0.289609*

−0.332848*

−0.34263**

(0.084911)

(0.113350)

(0.140916)

δ

1.533712*

1.485285*

1.541664*

(0.270681)

(0.266742)

(0.294524)

β

0.873895*

0.875357*

0.865345*

0.885786*

0.889983*

0.882629*

(0.019489)

(0.019747)

(0.021975)

(0.020222)

(0.020219)

(0.022510)

Q1(4)

172.59*

79.968*

35.571*

161.98*

59.366*

28.906*

Q1(8)

241.95*

124.84*

60.316*

224.18*

96.379*

50.349*

Q2(4)

6.3326

4.982

3.8738

19.204*

20.390*

19.377*

Q2(8)

7.3836

6.1325

4.8640

20.747*

22.297*

21.219*

Log Likelihood

4052.775

4065.950

4087.309

4104.165

4127.830

4152.042

F Stat.

5.6784**

4.1581**

3.029272***

17.0974*

15.8075*

14.90734*

Prob.

0.0173

0.0416

0.0819

0.0000

0.0001

0.0001