Journal of Probability and Statistics / 2020 / Article / Tab 6

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 6

Suggested GARCH models from EACF and AIC for variables.

VariableModelAICBIC

ADGARCH (1,0)−5.287483−5.257941
GARCH (1,1)−5.287718−5.250792
GARCH (2,1)−5.284379−5.240067

CGARCH (1,0)9.5983069.627847
GARCH (1,1)9.5824169.619342
GARCH (2,1)9.5885089.632819

CLGARCH (1,2)6.1529506.197262
GARCH (2,2)6.1560856.207782
GARCH (3,2)6.1614636.220546

ESGARCH (2,1)12.1335712.17789
GARCH (1,2)12.1334712.17778
GARCH (1,3)12.1385712.19026

FCGARCH (1,0)7.9366717.966212
GARCH (1,1)7.9291587.966084
GARCH (2,1)7.9332217.977533

GCGARCH (3,4)10.3680310.44188
GARCH (6,4)10.3853310.48134
GARCH (3,5)10.3740810.45532

KCGARCH (1,0)7.6730297.702570
GARCH (1,1)7.6647527.701679
GARCH (2,1)7.6756587.719969

USGARCH (1,0)5.8500095.879550
GARCH (1,1)5.8467255.883651
GARCH (2,1)5.8530855.897397

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