Variables | IGARCH with normal distribution | IGARCH with t-distribution | ||||
---|---|---|---|---|---|---|
(1) | (2) | (3) | (4) | (5) | (6) | |
μ | 0.002930* | 0.002884* | 0.002865* | 7.55E-07* | 1.53E-09 | −1.19E-07 |
(0.000839) | (0.000920) | (0.000928) | (8.18E-08) | (9.17E-06) | (1.01E-07) | |
ρ 1 | 0.205516* | 0.173207* | 0.265356* | 0.243118* | ||
(0.056778) | (0.060553) | (0.011288) | (0.011705) | |||
ρ 2 | 0.170491* | 0.161135* | ||||
(0.059969) | (0.011974) | |||||
α | 0.081458* | 0.075343* | 0.073077* | 0.116127* | 0.043758* | 0.058008* |
(0.012647) | (0.011661) | (0.011584) | (0.003518) | (0.002359) | (0.002924) | |
(1-α) | 0.918542* | 0.924657* | 0.926923* | 0.883873* | 0.956242* | 0.941992* |
(0.012647) | (0.011661) | (0.011584) | (0.003518) | (0.002359) | (0.002924) | |
Q1(4) | 326.39* | 162.39* | 90.175* | 0.0026 | 0.0025 | 0.0024 |
Q1(8) | 482.09* | 263.11* | 158.89* | 0.0052 | 0.0049 | 0.0047 |
Q2(4) | 38.485* | 33.945* | 31.662* | 0.0022 | 0.0022 | 0.0022 |
Q2(8) | 39.551* | 35.027* | 32.720* | 0.0045 | 0.0045 | 0.0045 |
Log Likelihood | 3861.589 | 3877.619 | 3889.840 | 5261.522 | 5069.878 | 5134.113 |
F Statistic | 36.02953* | 31.22263* | 29.47090* | 0.000558 | 0.000559 | 0.000559 |
Probability | 0.0000 | 0.0000 | 0.0000 | 0.9812 | 0.9811 | 0.9811 |