Table 3 Estimated parameters of non-fractional GH and fractional GH process
From: ARMA–GARCH model with fractional generalized hyperbolic innovations
IBM | Johnson & Johnson | Oracle | Apple | Amazon | CVS | |
|---|---|---|---|---|---|---|
Non-fractional GH, \({\lambda = -1.3926}\), \({\alpha = 0.0745}\) | ||||||
\(\beta\) | \(0.8494 \cdot 10^{-8}\) | \(-0.1234 \cdot 10^{-4}\) | \(-0.6355 \cdot 10^{-5}\) | \(-0.3409 \cdot 10^{-4}\) | \(-0.1549 \cdot 10^{-4}\) | \(0.8009 \cdot 10^{-5}\) |
\(\theta\) | \(0.6428 \cdot 10^{-3}\) | \(0.3622 \cdot 10^{-3}\) | \(0.4391 \cdot 10^{-3}\) | \(0.6172 \cdot 10^{-3}\) | \(0.7846 \cdot 10^{-3}\) | \(0.7898 \cdot 10^{-3}\) |
Fractional GH, \({H = 0.5387}\), \({\lambda = -1.3965}\), \({\alpha = 0.0561}\) | ||||||
\(\beta\) | \(-0.4953 \cdot 10^{-5}\) | \(-0.1309 \cdot 10^{-4}\) | \(-0.8864 \cdot 10^{-5}\) | \(-0.3555 \cdot 10^{-4}\) | \(-0.2430 \cdot 10^{-4}\) | \(0.3158 \cdot 10^{-5}\) |
\(\theta\) | \(0.7845 \cdot 10^{-3}\) | \(0.4430 \cdot 10^{-3}\) | \(0.5360 \cdot 10^{-3}\) | \(0.7546 \cdot 10^{-3}\) | \(0.9599 \cdot 10^{-3}\) | \(0.9675 \cdot 10^{-3}\) |