Model Calibration and Validation for the Fuzzy-EGARCH-ANN Model

Table 3

The EGARCH-ANN (1,1,2,1) model fitted to the given S&P 500 data.

Parameters	Coefficients	Std. errors	t-Stats
K	−0.308 2	0.084 6	−3.642 0
ARCH1	0.217 6	0.050 8	4.282 3
GARCH1	0.983 5	0.009 9	98.999
Leverage1	−0.094 5	0.040 7	−2.323 4
leveragebyANN1	−0.521 0	0.241 3	−2.159 0
DoF	4.226 1	0.673 7	6.273 2