Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps

Table 2

Estimation of the GARCH(1,1) process.

Dependent variable: log-returns of 𝑆&𝑃60 Canada index prices
Method: ML-ARCH
Included observations: 1300
Convergence achieved after 28 observations
—	Coefficient	Std. error	z-statistic	Prob.
C	0.000617	0.000338	1.824378	0.0681
Variance equation
C	2.58𝐸−06	3.91𝐸−07	6.597337	0
ARCH(1)	0.060445	0.007336	8.238968	0
GARCH(1)	0.927264	0.006554	141.4812	0
R-squared	−0.000791	Mean dependent var	—	0.000235
Adjusted R-squared	−0.003108	S.D. dependent var	—	0.013567
S.E. of regression	0.013588	Akaike info criterion	—	−5.928474
Sum squared resid	0.239283	Schwartz criterion	—	−5.912566
Log-likelihood	3857.508	Durbin-Watson stat	—	1.886028