| Normal innovation | Student t innovation | ||
---|---|---|---|---|
Persistence | Half-life volatility | Persistence | Half-life volatility | |
sGARCH (1,1) | 0.8985 | 6.4765 | NA | NA |
gjrGARCH(1,1) | 0.9068 | 7.0831 | NA | NA |
eGARCH(1,1) | 0.8242 | 3.5859 | 0.9993 | 1030.535 |
iGARCH(1,1) | 1 | Infinity | 1 | Infinity |
apARCH(1,1) | 0.8960 | 6.3101 | 0.9638 | 18.7753 |
TGARCH(1,1) | 0.9923 | 89.4049 | 0.6300 | 1.5000 |
NGARCH(1,1) | 0.8853 | 5.6903 | 0.9816 | 37.2784 |
NAGARCH(1,1) | 0.9009 | 6.6394 | 0.9364 | 10.5541 |
AVGARCH(1,1) | 0.8546 | 4.4127 | 0.7293 | 2.1961 |