Table 3.
Result of the standard T-GARCH estimation.
| Variables | Coefficients | Standard error | t-statistic | Prob |
|---|---|---|---|---|
| C | 52.41025*** | 14.57348 | 3.596277 | 0.0003 |
| Price(-1) | 0.972421*** | 0.007499 | 129.6693 | 0.0000 |
| Variance Equation | ||||
| C | 1040.285 | 324.7909 | 3.202936 | 0.0014 |
| ARCH effect | 0.278824*** | 0.059190 | 4.710659 | 0.0000 |
| Asymmetric coefficient | −0.181338*** | 0.052840 | −3.431835 | 0.0006 |
| GARCH effect | 0.790741*** | 0.040099 | 19.71965 | 0.0000 |
***, ** & * represents significance at the 1 %, 5 % and 10 % level of probability respectively.
Source: Author's computation, 2023