Table 3. Confidence intervals for AR-GARCH models.

Empirical coverage probabilities are reported for the random weighted bootstrap confidence intervals ${\tilde{I}}_{RWB,1}(a)$ and ${\tilde{I}}_{RWB,2}(a)$ with a = 0.90 and 0.95.

(n, p, γ)	${\tilde{I}}_{RWB,1}(0.90)$	${\tilde{I}}_{RWB,2}(0.90)$	${\tilde{I}}_{RWB,1}(0.95)$	${\tilde{I}}_{RWB,2}(0.95)$
(1200,0.01,1/3)	0.843	0.908	0.901	0.961
(1200,0.001,1/3)	0.629	0.940	0.689	0.968
(2500,0.01,1/3)	0.878	0.894	0.928	0.949
(2500,0.001,1/3)	0.700	0.906	0.763	0.952
(1200,0.01,1/6)	0.857	0.898	0.918	0.951
(1200,0.001,1/6)	0.703	0.936	0.764	0.970
(2500,0.01,1/6)	0.868	0.903	0.930	0.943
(2500,0.001,1/6)	0.757	0.896	0.811	0.943