| 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 |