Dynamic Currency Futures and Options Hedging Model

Table 5

Parameters estimations of GARCH-t model.

GARCH-t	CNY/USD		Silver price
Parameters	Estimated values	Std	Estimated values	Std
C	-3.7917e-05	2.9301e-05	-5.2123e-04	3.9959e-04
K	2.0000e-07	4.8079e-08	3.2615e-06	1.5352e-06
GARCH	0.7355	0.0327	0.9613	0.0097
ARCH	0.2645	0.0494	0.0278	0.0074
AR	0.0182	0.0274	-0.0929	0.0234
d	3.4282	0.3276	4.9082	0.5513
LLF	7.3090e+03		3.7755e+03
AIC	-1.4606e+04		-7.5390e+03
BIC	-1.4577e+04		-7.5102e+03
Lags	P-values	Q- statistics	P-values	Q- statistics
Ljung-Box test
QW(1)	0.1684	1.8970	0.0552	7.8133
QW(3)	0.5638	2.0418	0.0554	8.5825
QW(5)	0.8301	2.1356	0.1024	9.1720
QW(7)	0.9453	2.414	0.2165	9.5341
Engles test
LM(4)	0.7190	2.0910	0.0718	8.6029
LM(6)	0.9029	2.1748	0.1810	8.8711
LM(8)	0.9721	2.2566	0.3425	8.9979
LM(10)	0.9937	2.2799	0.4114	10.3380