Official websites use .gov
A
.gov website belongs to an official
government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you've safely
connected to the .gov website. Share sensitive
information only on official, secure websites.
Estimation results of the GARCH-S model.
| Parameter | Value | Parameter | Value |
|---|---|---|---|
| μ | 0.00005*** (10.47) |
β0 | 0.00001 (0.98) |
| α0 | 0.00001*** (39.94) |
β1 | 0.036*** (15.37) |
| α1 | 0.117*** (101.64) |
β2 | 0.148*** (58.07) |
| α2 | 0.889*** (891.12) |
AIC | −4.556 |
| Log-likelihood | 1802.220 | SIC | −4.514 |
Notes: ***, **, and * represent statistical significance at the 1%, 5%, and 10 % levels, respectively. The t-statistics are presented in parentheses.
