Table 2 Parameter estimates for the MEM,... | Emerald Publishing

Table 2

Parameter estimates for the MEM, SAMEM, and MS SAMEM, information criteria and the maximized value of Log–likelihood; dependent variable: high–low range for the INE; predetermined variable: high–low range for the WTI. Sample period: 26 March 2018–19 July 2023

	ω	α	β	δ₁	δ₂	a₁	a₂	p11	p22	LOGLIK	AIC	BIC
MEM	5.40	0.23	0.61			3.32				−4994.90	8.37	8.39
MEM	(1.49)	(0.05)	(0.08)			(0.20)
SAMEM	6.77	0.18	0.44	0.27		3.59				−4942.90	8.29	8.31
SAMEM	(2.45)	(0.05)	(0.15)	(0.03)		(0.24)
MS SAMEM	3.72	0.08	0.61	0.34	0.89	8.54	1.30	0.90	0.57	−4796.01	8.05	8.09
MS SAMEM	(1.67)	(0.03)	(0.14)	(0.03)	(0.13)	(0.83)	(0.17)	(0.02)	(0.08)

	ω	α	β	δ₁	δ₂	a₁	a₂	p11	p22	LOGLIK	AIC	BIC
MEM	5.40	0.23	0.61			3.32				−4994.90	8.37	8.39
MEM	(1.49)	(0.05)	(0.08)			(0.20)
SAMEM	6.77	0.18	0.44	0.27		3.59				−4942.90	8.29	8.31
SAMEM	(2.45)	(0.05)	(0.15)	(0.03)		(0.24)
MS SAMEM	3.72	0.08	0.61	0.34	0.89	8.54	1.30	0.90	0.57	−4796.01	8.05	8.09
MS SAMEM	(1.67)	(0.03)	(0.14)	(0.03)	(0.13)	(0.83)	(0.17)	(0.02)	(0.08)

Source(s): Authors’ calculations from Eikon Datastream data