Research Article
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 distribution | EGARCH | EGARCH-RV | EGARCH-CJ | EGARCH | EGARCH-RV | EGARCH-CJ |
| | −0.0361 | 0.0002 | −0.0089 | 0.0259 | 0.0374 | 0.0279 | | −0.0598*** | 0.2982*** | 0.3384*** | −0.0502*** | 0.3079*** | 0.3769*** | | 0.1055*** | −0.1682*** | −0.1686*** | 0.0730*** | −0.1951*** | −0.2131*** | | −0.0374*** | −0.1070*** | −0.1074*** | −0.0320*** | −0.1093*** | −0.1142*** | | 0.9849*** | 0.6568*** | 0.6513*** | 0.9954*** | 0.6544*** | 0.6253*** | | | 0.2780*** | 0.2849*** | | 0.2928*** | 0.3247*** | | | | 0.0524 | | | 0.0498 | DOF of 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 |
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***, **, and * denote significance at the 1%, 5%, and 10% significance level.
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