Table 17 ML Parameter estimates for MS(3)-GARCH(1,1)-model with heavy-tailed innovations
Model | Parameter | Estimate | P-value for the AD statistic |
|---|---|---|---|
MS-GARCH-StD | \({\widehat{\mu }}_{s\mathrm{td}}\) \({\widehat{\sigma }}_{s\mathrm{td}}\) \({\widehat{\nu }}_{s\mathrm{td}}\) | -0.0187 1.3348 2.7672 | 0.6193 |
MS-GARCH-SStD | \({\widehat{\mu }}_{ss\mathrm{td}}\) \({\widehat{\sigma }}_{ss\mathrm{td}}\) \({\widehat{\nu }}_{ss\mathrm{td}}\) \(\widehat{\xi }\) | 0.0396 1.3209 2.8148 1.1032 | 0.9593 |
MS-GARCH-NRIGD | \({\widehat{\lambda }}_{NRIGD}\) \({\widehat{\alpha }}_{NRIGD}\) \(\widehat{\delta }\) \({\widehat{\beta }}_{NRIGD}\) \({\widehat{\mu }}_{NRIGD}\) | 0.5 1.0369 0.3419 0.0924 -0.0787 | 0.9636 |
MS-GARCH-PIVD | \(\widehat{m}\) \({\widehat{\nu }}_{PIVD}\) \({\widehat{\lambda }}_{PIVD}\) \({\widehat{\alpha }}_{PIVD}\) | 2.3455 0.3184 1.3856 1.1699 | 0.9812 |