From: ARMA–GARCH model with fractional generalized hyperbolic innovations
IBM | Johnson & Johnson | Oracle | Apple | Amazon | CVS | |
---|---|---|---|---|---|---|
ARMA(1, 1) | ||||||
\(a_n\) | 0.6681 | − 0.2489 | 0.5850 | 0.3375 | − 0.4656 | 0.9043 |
\(b_n\) | − 0.6311 | 0.2372 | − 0.6356 | − 0.4119 | 0.4555 | − 0.9100 |
\(\mu _n\) | 0.2710·10−4 | 0.1092·10−4 | 0.1294·10−4 | − 0.8574·10−7 | 0.1057·10−4 | − 0.1116·10−5 |
GARCH(1, 1) | ||||||
\(\zeta _n\) | 0.7883 | 0.8958 | 0.9111 | 0.9009 | 0.8992 | 0.8853 |
\(\xi _n\) | 0.1986 | 0.0784 | 0.0666 | 0.0593 | 0.0747 | 0.0974 |
\(\omega _n\) | 0.1180·10−7 | 0.2940·10−8 | 0.8443·10−8 | 0.5477·10−9 | 0.1125·10−7 | 0.7397·10−8 |