From: Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
GARCH-S model | GARCH (1,1) model | ||||||
---|---|---|---|---|---|---|---|
Parameter | Value | Parameter | Value | Parameter | Value | Parameter | Value |
μ |  − 0.0425*** (− 63.90) | β0 | 0.0000 (0.78) | c |  − 0.0456 (− 1.1895) | β0 | N/A |
α0 | 0.0000*** (62.31) | β1 | 0.0361*** (7.2590) | α0 | 0.0000*** (6.5838) | β1 | N/A |
α1 | 0.2065*** (88.01) | β2 | 0.1544*** (5027.2950) | α1 | 0.2292*** (7.9513) | β2 | N/A |
α2 | 0.7720*** (410.62) | AIC |  − 4.8387 | α2 | 0.7539*** (27.7589) | AIC |  − 8.6462 |
Obs | 917 | SIC |  − 4.8020 | Obs | 917 | SIC |  − 8.6252 |
Log-likelihood | 2232.808 | HQ |  − 4.8247 | Log-likelihood | 3141.189 | HQ |  − 8.6382 |