Table 4 Estimation results for EGARCH model

μ

2.04E-08

3.27E-09

−3.66E-08

4.29E-08

2.57E-08

−1.85E-08

(1.17E-06)

(1.43E-06)

(4.97E-07)

(1.93E-06)

(1.61E-06)

(1.64E-06)

ρ ₁

0.263417*

0.350785**

0.161735*

0.146973*

(0.051723)

(0.153884)

(0.015344)

(0.014631)

ρ ₂

0.350488*

0.119350*

(0.125083)

(0.013932)

η

−0.565951*

−0.678004*

−0.605468*

−0.636386*

−0.696469*

−0.758190*

(0.065684)

(0.066833)

(0.065839)

(0.210477)

(0.226475)

(0.151225)

α

0.322317*

0.381764*

0.342639*

1.743955

2.628468

2.047842

(0.045776)

(0.050371)

(0.078282)

(3.064486)

(4.199223)

(2.094103)

γ

0.057201

0.066029

−0.031695

0.167936

0.409331

0.302450

(0.037783)

(0.054214)

(0.221024)

(0.295404)

(0.651932)

(0.311216)

β

0.945939*

0.934308*

0.942450*

0.941501*

0.931442*

0.929085*

(0.006794)

(0.006133)

(0.007135)

(0.001939)

(0.002482)

(0.002585)

Q1(4)

293.54*

102.11*

14.129*

44.070*

26.663*

17.440*

Q1(8)

397.12*

160.61*

19.778**

65.108*

42.640*

29.617*

Q2(4)

15.604*

3.4865

1.1215

0.3888

0.7209

0.7762

Q2(8)

397.12*

6.3806

2.2757

0.7328

1.3139

1.4064

Log Likelihood

4159.549

4155.077

4087.921

5186.759

5205.489

5213.334

F Statistic

13.99454*

2.877947***

0.888492

0.081133

0.167294

0.180243

Probability

0.0002

0.0900

0.3460

0.7758

0.6826

0.6712