Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
Table 5
GARCH (1, 1) fitting results.
Coefficient
Normal distribution
t distribution
GED distribution
9.152E − 06
2.523E − 04
2.675E − 04
(0.977)
(0.387)
(0.252)
0.047
0.046
0.046
(0.006)
(0.000)
(0.000)
0.094
0.945
0.943
(0.000)
(0.000)
(0.000)
LM statistics
11.945
12.519
12.363
(0.451)
(0.405)
(0.417)
Q (20)
17.132
17.987
17.786
(0.644)
(0.588)
(0.601)
AIC
−5.819
−5.881
−5.891
Note: Table 5 shows the value of each coefficient or statistic. The value in brackets represents the corresponding p value, and indicates that the coefficient is significant at the significance level of 0.01.
