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

Table 4

Estimation results of EGJR and its extended model.

	Residual following Gaussian distribution			Residual following 𝑡 distribution
	CJR	CJR-RV	CJR-CJ	CJR	CJR-RV	CJR-CJ
𝜇𝑡−1	−0.0235	0.0123	−0.0106	0.0361	0.0433	0.0168
𝜔	0.0505***	0.1510***	0.1904***	0.0152	0.1470***	0.1844***
𝛼	0.0258***	−0.0581***	−0.0864***	0.0150	−0.0608***	−0.0960***
𝛽	0.0371***	0.0982***	0.0752***	0.0342**	0.0952***	0.0703**
𝜃	0.9420***	0.8437***	0.7588***	0.9629***	0.8253***	0.7112***
𝜆		0.1309***	0.3132***		0.1595***	0.4042***
𝛾			0.0472*			0.0635
DOF of 𝑡 distribution				6.2568***	7.4200***	7.6072***
Log likelihood	−2497.6	−2474.6	−2463.8	−2471.8	−2459.5	−2449.6
AIC	4.1780	4.1413	4.1249	4.1366	4.1176	4.1028

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