Table 5 Estimation results for TGARCH model

μ

−3.67E-05

4.94E-05

0.000154

(0.000235)

(0.000254)

(0.000234)

ρ ₁

0.222718*

0.169813*

(0.045755)

(0.020729)

ρ ₂

0.214483*

(0.020328)

η

2.39E-06**

2.41E-06***

2.46E-06*

(1.21E-06)

(1.28E-06)

(7.95E-08)

α

0.293310*

0.303622*

0.341319*

(0.042445)

(0.048643)

(0.014608)

γ

−0.194578*

−0.215880*

−0.254191*

(0.039799)

(0.047940)

(0.016232)

β

0.864521*

0.866679*

0.859486*

(0.020969)

(0.021193)

(0.002350)

Q1(4)

164.03*

63.817*

29.131*

Q1(8)

230.46*

102.16*

48.891*

Q2(4)

8.8747***

8.6272***

10.023*

Q2(8)

10.346

10.343

11.764

Log Likelihood

4096.761

4118.817

4145.995

F Statistic

7.942155*

6.577262***

7.433103*

Probability

0.0049

0.0104

0.0065