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

Table 3

Estimation results of EGARCH and its extended model.

	Residual following Gaussian distribution			Residual following 𝑡 distribution
	EGARCH	EGARCH-RV	EGARCH-CJ	EGARCH	EGARCH-RV	EGARCH-CJ
𝜇𝑡−1	−0.0361	0.0002	−0.0089	0.0259	0.0374	0.0279
𝜔	−0.0598***	0.2982***	0.3384***	−0.0502***	0.3079***	0.3769***
𝛼	0.1055***	−0.1682***	−0.1686***	0.0730***	−0.1951***	−0.2131***
𝛽	−0.0374***	−0.1070***	−0.1074***	−0.0320***	−0.1093***	−0.1142***
𝜃	0.9849***	0.6568***	0.6513***	0.9954***	0.6544***	0.6253***
𝜆		0.2780***	0.2849***		0.2928***	0.3247***
𝛾			0.0524			0.0498
DOF of 𝑡 distribution				6.2963***	7.3426***	7.1035***
Log likelihood	−2497.0	−2465.8	−2462.9	−2472.3	−2450.1	−2446.5
AIC	4.1769	4.1265	4.1234	4.1374	4.1020	4.0976

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