Table 1: Estimation of GARCH (1,1) model for daily log returns.

S&P 500DAXFTSE 100NIKKEI 225BOND FUNDCDS 1CDS 2CDS 3

𝑛 14,8224,5456,2296,1282,512391334329
𝛼 0 7.35E-072.35E-061.87E-061.88E-063.39E-080.0002−1.40E-070.0012
(s.e.)(6.40E-08)(3.22E-07)(2.44E-07)(2.57E-07)(1.18E-08)(9.34E-06)(3.26E-05)(0.0003)
𝛼 1 0.08690.10200.09600.11620.032300.21870.06870.1337
(s.e.)(0.0027)(0.0058)(0.0064)(0.0063)(0.0052)(0.0784)(0.0046)(0.0145)
𝛽 0.910.88730.88570.88120.9599−0.03460.94110.8595
(s.e.)(0.0027)(0.0060)(0.0068)(0.0059)(0.0067)(0.0529)(0.0019)(0.0096)
𝛼 1 + 𝛽 0.99690.98930.98170.99740.99220.18411.00980.9932
Log-lik5095013679203821832112042116615049
ARCH LM test1.83217.67990.29033.14430.44100.01571.01030.4108
Prob(0.1759)(0.0056)(0.5901)(0.0762)(0.5066)(0.9003)(0.3148)(0.5216)