Table 6 Parameter estimates for the AR-GARCH process. The table reports the parameter estimates for the AR(p)-GARCH(1,1) processes for daily and AR(p)-GARCH (1,0) processes for monthly data. The notations come from expressions (2.2), (2.40) and (2.41). The numbers in parentheses are the t-ratios. The t-ratios marked with asterisks (double asterisks or three asterisks) indicate that the corresponding coefficients are statistically different from zero at 10% (5% or 1%) level of significance
From: How to compare market efficiency? The Sharpe ratio based on the ARMA-GARCH forecast
S&P 500 Index -monthly | SSE Composite Index-monthly | S&P 500 Index -daily | SSE Composite Index-daily | |
|---|---|---|---|---|
a1 | 0.151447 (2.54)** | 0.080948 (1.11) | −0.058303 (− 3.13)*** | 0.018532 (1.10) |
a2 | 0.193746 (2.81)*** | −0.032937 (− 1.94)* | − 0.011153 (− 0.67) | |
a3 | – | 0.022778 (1.36) | ||
Intercept | 0.002195 (0.60) | 0.003046 (0.54) | 0.000583 (4.04)*** | 0.000335 (1.73) |
α1 | 0.960079 (18.08)*** | 0.973209 (78.52)*** | 0.895647 (111.8)*** | 0.913373 (160.7)*** |
β1 | 0.092683 (12.64)*** | 0.075154 (14.11)*** | ||
φ | 0.00007 (0.72) | 0.000194 (2.75)*** | 0.00000164 (7.26)*** | 0.00000318 (6.99)*** |
Log Likelihood | 306.2535 | 210.8371 | 11,967.77 | 10,311.22 |