GARCH-Type Model with Continuous and Jump Variation for Stock Volatility and Its Empirical Study in China

Table 2

Estimation results for GARCH and its extended model.

	Residual following Gaussian distribution			Residual following 𝑡 distribution
	GARCH	GARCH-RV	GARCH-CJ	GARCH	GARCH-RV	GARCH-CJ
𝜇𝑡−1	−0.0007	−0.0400	−0.0457	0.0438	0.0091	−0.0003
𝜔	0.0324***	0.2759***	0.2170***	0.0132	0.2808***	0.1982**
𝛼	0.0392***	−0.0468***	−0.0558***	0.0368***	−0.0667***	−0.0620***
𝜃	0.9520***	0.6835***	0.7055***	0.9607***	0.6537***	0.6750***
𝜆		0.3254***	0.3865***		0.3903***	0.4508***
𝛾			0.0678*			0.0906
DOF of 𝑡 distribution				5.9313***	6.7107***	7.3077***
Log likelihood	−2499.9	−2482.4	−2469.3	−2474.6	−2463.2	−2453.0
AIC	4.1802	4.1525	4.1324	4.1396	4.1222	4.1068

***, **, and * denote significance at the 1%, 5%, and 10% significance level.