Nonstationary Generalised Autoregressive Conditional Heteroskedasticity Modelling for Fitting Higher Order Moments of Financial Series within Moving Time Windows

Table 2

Parameters of the conditional double Gaussian distributions used to construct “GARCHable” regions in Figure 6.

Position
Leftmost (red)	5	41.7	171 (A)	600 (B)
Centre (blue)	7	81.7	943 (C)	1500 (D)
Rightmost (green)	12	240	1586 (E)

The table summarises the parameters of the distributions used to model the time windows (A) to (B), (C) to (D), and from (E). These are the limits of the time windows in days that the particular instance of the double Gaussian distribution can be used to fit the higher order moments of the empirical data of the Bank of America.