Financial Innovation

Table 7 Comparison of models in within sample estimation accuracy

From: Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution

Models	Normal distribution			Student’s t-distribution
Models	Log likelihood	SBC	AIC	Log likelihood	SBC	AIC
AR(2) – GARCH(1, 1)	4087.309	−4.5410	−4.560	6690.907	−7.4044	−7.4259
AR(2) – APARCH(1, 1)	4152.042	−4.6056	−4.6302	7809.244	−8.5490	−8.5664
AR(2) – EGARCH(1, 1)	4087.921	−4.5382	−4.5596	5213.334	−5.7914	−5.8160
AR(2) – TARCH(1, 1)	4145.995	−4.6031	−4.6245	–	–	–
AR(2) – IGARCH(1, 1)	3889.840	−4.3294	−4.3417	5134.113	−5.7155	−5.730

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