Table 14 ML parameter estimates of the MS(3)-GARCH (1,1) model
Parameter | Estimate | Standard error | P-value |
|---|---|---|---|
\({\widehat{\alpha }}_{01}\) | 0.0666 | < 0.0001 | < 0.0001 |
\({\widehat{\alpha }}_{11}\) | 0.0033 | < 0.0001 | < 0.0001 |
\({\widehat{\beta }}_{1}\) | 0.0001 | < 0.0001 | < 0.0001 |
\({\widehat{\alpha }}_{02}\) | 0.0166 | < 0.0001 | < 0.0001 |
\({\widehat{\alpha }}_{12}\) | 0.1115 | < 0.0001 | < 0.0001 |
\({\widehat{\beta }}_{2}\) | 0.8884 | < 0.0001 | < 0.0001 |
\({\widehat{\alpha }}_{03}\) | 0.1909 | < 0.0001 | < 0.0001 |
\({\widehat{\alpha }}_{13}\) | 0.9851 | < 0.0001 | < 0.0001 |
\({\widehat{\beta }}_{3}\) | 0.0142 | < 0.0001 | < 0.0001 |
\({\widehat{\rho }}_{1}\) | 0.1442 | < 0.0001 | < 0.0001 |
\({\widehat{\rho }}_{2}\) | 0.1507 | < 0.0001 | < 0.0001 |