Table 2 GARCH models and their performance on the log returns of daily stock price of Total Nigeria Plc
Model | Information criteria | Normal innovation | Student t innovation |
|---|---|---|---|
sGARCH (1,1) | Akaike | − 4.7049 | N.A |
Bayes | −4.7002 | ||
Shibata | − 4.7049 | ||
Hannan-Quinn | −4.7032 | ||
gjrGARCH(1,1) | Akaike | −4.7103 | N.A |
Bayes | −4.7040 | ||
Shibata | −4.7103 | ||
Hannan-Quinn | −4.7081 | ||
eGARCH(1,1) | Akaike | − 4.7221 | −5.6080 |
Bayes | − 4.7158 | −5.6002 | |
Shibata | −4.7221 | − 5.6080 | |
Hannan-Quinn | −4.7199 | −5.6052 | |
iGARCH(1,1) | Akaike | −4.6949 | −6.1100 |
Bayes | −4.6918 | −6.1053 | |
Shibata | −4.6949 | − 6.1100 | |
Hannan-Quinn | −4.6938 | − 6.1084 | |
apARCH(1,1) | Akaike | − 4.7111 | −9.3760 |
Bayes | −4.7033 | −9.3666 | |
Shibata | −4.7111 | −9.3760 | |
Hannan-Quinn | −4.7083 | −9.3727 | |
TGARCH(1,1) | Akaike | − 2.0986 | −7.6480 |
Bayes | − 2.0923 | −7.6402 | |
Shibata | −2.0986 | −7.6480 | |
Hannan-Quinn | −2.0964 | −7.6452 | |
NGARCH (1,1) | Akaike | − 4.7057 | −22.057 |
Bayes | − 4.6994 | −22.049 | |
Shibata | − 4.7057 | −22.057 | |
Hannan-Quinn | −4.7034 | −22.054 | |
NAGARCH (1,1) | Akaike | −4.7068 | −6.0847 |
Bayes | −4.7006 | −6.0768 | |
Shibata | −4.7068 | −6.0847 | |
Hannan-Quinn | −4.7046 | −6.0819 | |
AVGARCH(1,1) | Akaike | −4.7068 | −7.3255 |
Bayes | −4.6990 | −7.3160 | |
Shibata | −4.7068 | −7.3255 | |
Hannan-Quinn | −4.7040 | −7.3221 |