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Table 1 Estimated parameters of ARMA–GARCH models with standard normal innovations

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