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Table 6 Persistence and half-life volatility of the cleansed log returns of daily stock price of Total Nigeria Plc

From: On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

 

Normal innovation

Student t innovation

Persistence

Half-life volatility

Persistence

Half-life volatility

sGARCH (1,1)

0.9791

32.8884

NA

NA

gjrGARCH(1,1)

0.9791

32.7524

NA

NA

eGARCH(1,1)

0.9187

8.1793

1

Infinity

iGARCH(1,1)

1

Infinity

1

Infinity

apARCH(1,1)

0.9791

32.8002

0.9667

20.4769

TGARCH(1,1)

0.9960

171.5258

0.6387

1.5460

NGARCH(1,1)

0.9791

32.8943

0.9851

46.0923

NAGARCH(1,1)

0.9790

32.6689

0.8924

6.0899

AVGARCH(1,1)

0.9612

17.5026

0.5455

1.1437