Journal of Probability and Statistics / 2020 / Article / Tab 9

Research Article

Forecasting of Global Market Prices of Major Financial Instruments

Table 9

Parameter estimation of GARCH (1,1).

VariableModelParametersS.E. value

ADGARCH (1,1)μ 7.553e − 015.748e − 04<0.001
α0 1.893e − 054.816e − 06<0.001
α1 1.000e + 001.368e − 01<0.001
β1 8.723e − 021.025e + 000.395

CGARCH (1,1)μ 470.355700.57851<0.001
α0 9.410343.506900.00729
α1 0.942950.13596<0.001
β1 0.238050.089880.00808

CLGARCH (1,2)μ 51.254410.23806<0.001
α0 0.860550.313800.0061
α1 1.000000.23861<0.001
β1 0.060700.331090.8545
β2 0.050160.166900.7638

ESGARCH (1,2)μ 2.061e + 031.844e + 00<0.001
α0 1.379e + 023.458e + 01<0.001
α1 1.000e + 001.332e − 01<0.001
β1 1.290e − 011.622e − 010.426
β2 2.367e − 029.275e − 020.799

FCGARCH (1,1)μ 146.13260.3324<0.001
α0 2.00450.81870.0144
α1 1.00000.1376<0.001
β1 0.13150.11030.2333

GCGARCH (3,4)μ 1.310e + 032.798e + 00<0.001
α0 9.636e + 012.554e + 010.000162
α1 1.000e + 001.319e − 01<0.001
α2 7.743e − 021.384e − 010.575965
α3 1.000e − 086531e − 021.000000
β1 1.000e − 088.419e − 021.000000
β2 1.000e − 08NANA
β3 1.000e − 08NANA
β4 1.676e − 022.036e − 020.410364

KCGARCH (1,1)μ 166.67490.4603<0.001
α0 4.19711.46020.00405
α1 1.00000.1371<0.001
β1 0.14750.10250.15036

USGARCH (1,1)μ 146.20890.3625<0.001
α0 0.73460.25140.00347
α1 1.00000.1761<0.001
β1 0.12740.14030.36393

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