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Table 3 Estimates of ARFIMA-G-GARCH model for each series

From: Modelling the dynamics of stock market in the gulf cooperation council countries: evidence on persistence to shocks

 

Kuwait

Qatar

Saudi

UAE

Bahrain

Oman

\(\left( {p,\,d_{m} ,\,q} \right)\)

\(\left( {1,\,d,\,1} \right)\)

\(\left( {1,\,d,\,1} \right)\)

\(\left( {0,\,d,\,0} \right)\)

\(\left( {0,\,d,\,1} \right)\)

\(\left( {0,\,d,\,0} \right)\)

\(\left( {1,\,d,\,2} \right)\)

\(\left( {P,d_{v} ,\,Q} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\left( {1,\,\delta ,\,1} \right)\)

\(\mu\)

      

\(d_{m}\)

0.101

(3.968)***

0.134

(3.185)***

0.119

(4.639)***

0.106

(3.148)***

0.089

(4.642)***

0.127

(3.689)***

\(\theta_{1}\)

 − 0.199

(− 1.821)*

 − 0.231

(− 2.145)**

   

 − 0.214

(− 1.887)**

\(\theta_{2}\)

      

\(\phi_{1}\)

 − 0.204

(− 1.745)*

 − 0.238

(− 2.169)**

    

\(\phi_{2}\)

 − 

 − 

    

\(\omega\)

0.000

(0.000)

0.000

(0.000)

0.000

(0.000)

0.000

(0.000)

0.00

(0.000)

0.000

(0.000)

\(d_{v}\)

0.422

(7.981)***

0.344

(4.673)***

0.352

(6.859)***

0.385

(5.763)***

0.433

(6.834)***

0.349

(8.573)***

\(\lambda_{V}\)

0.412

(5.872)*** − 

0.414

(6.583)***

0.407

(5.347)***

0.410

(4.975)***

0.408

(5.352)***

0.403

(5.874)***

\(\beta_{1}\)

0.646

(5.674)***

0.412

(4.683)***

0.551

(4.784)***

0.476

(4.836)***

0.582

(6.682)***

0.674

(6.357)***

\(\varpi_{1}\)

0.458

(3.247)***

0.291

(3.952)***

0.287

(3.781)***

0.373

(4.836)***

0.392

(3.968)***

0.314

(4.792)***

\(\hat{\upsilon }\)

5.245

(13.451)***

4.137

(13.346)***

5.755

(12.673)***

5.349

(11.453)***

4.457

(10.785)***

4.561

(10.893)***

Skw

0.216

(3.768)***

0.112

(1.775)*

0.101

(3.786)***

0.099

(1.752)*

0.201

(3.584)***

0.075

(1.211)

Ex. Kurt

3.762

(22.345)***

3.638

(24.674)***

3.667

(24.673)***

3.458

(23.729)***

3.367

(20.649)***

3.231

(21.658)***

\(Q\left( {20} \right)\)

20.767

21.178

20.278

20.562

19.742

18.786

\(Q^{2} \left( {20} \right)\)

10.084

10.564

10.237

10.023

10.465

8.872

\(BDS\left( 5 \right)\)

4.676

4.214

4.773

4.266

3.547

3.371

\(\begin{gathered} Log - \hfill \\ Likelihood \hfill \\ \end{gathered}\)

1037.985

1046.353

1044.882

1042.773

1046.448

1048.992

\(Akaike\)

 − 0.069

 − 0.082

 − 0.073

 − 0.085

 − 0.079

 − 0.092

  1. See Table 2