Long Memory Process in Asset Returns with Multivariate GARCH Innovations
Table 3
Estimation of the MGARCH model.
Full BEKK(1,1,1)
Diagonal BEKK(1,1,1)
CCC-GARCH(1,1)
DCC-GARCH(1,1)
0.095
0.084
0.007
0.005
(0.008)
(0.023)
(0.003)
(0.023)
0.089
0.068
0.012
0.008
(0.014)
(0.019)
(0.002)
(0.001)
0.099
0.072
0.012
0.007
(0.015)
(0.019)
(0.003)
(0.002)
0.062
0.046
0.066
0.064
(0.010)
(0.014)
(0.009)
(0.008)
0.064
0.041
0.075
0.040
(0.011)
(0.012)
(0.010)
(0.004)
0.0220
−0.007
0.078
0.064
(0.001)
(0.002)
(0.009)
(0.008)
0.103
0.214
0.932
0.934
(0.022)
(0.030)
(0.009)
(0.006)
0.040
0.198
0.901
0.948
(0.096)
(0.032)
(0.009)
(0.007)
−0.071
0.191
0.904
0.916
(0.118)
(0.028)
(0.013)
(0.010)
0.048
0.969
0.666
0.042
(0.023)
(0.009)
(0.011)
(0.005)
0.151
0.972
0.666
0.942
(0.105)
(0.010)
(0.019)
(0.008)
−0.113
0.973
0.429
(0.137)
(0.008)
(0.016)
0.037
(0.023)
−0.032
(0.123)
0.131
(0.125)
0.897
(0.013)
−0.019
(0.069)
0.007
(0.081)
—
—
—
0.001
(0.013)
0.849
(0.072)
−0.021
(0.082)
0.011
(0.010)
0.072
(0.068)
0.870
(0.083)
−756.715
−743.369
−758.793
−760.490
−621.363
−511.044
−699.117
−698.454
−707.114
−768.169
−781.993
−787.756
646.262
487.183
141.769
151.019
[0.000]
[0.000]
[0.481]
[0.399]
423.541
361.060
85.242
99.283
[0.000]
[0.000]
[0.948]
[0.797]
Notes: The numbers in parenthese is standard error, is the correlation coefficient, and , and are, respectively, the Akaike, Bayesian and Hannan-Quinn information criterion. and are, respectively, the 12th order multivariate Portmanteau tests for serial correlation in the standardized and squared standardized residuals (null Hypothesis: no serial correlation). The numbers in brackets are the P-values.
