From: How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
S&P 500 Index | SSE Composite Index | |
---|---|---|
a1 | −0.0782383 (− 1.87)* | 0.0511606 (1.38) |
a2 | −0.0082874 (− 0.20) | 0.0837641 (2.17)** |
a3 | −0.0786243 (− 2.16)** | – |
Intercept | 0.0025749 (3.72)*** | 0.0006806 (0.65) |
α1 | 0.7341439 (23.76)*** | 0.8754173 (28.85)*** |
β1 | 0.2185006 (8.59)*** | 0.0910423 (4.17)*** |
φ | 0.0000358 (3.92)*** | 0.0000367 (2.63)*** |
Log Likelihood | 1867.151 | 1542.614 |