Table 4. Parameter estimation results of... | Emerald Publishing

Table 4.

Parameter estimation results of the MSGARCH model for TUNINDEX return volatility

Parameter	Estimate	Standard error	t-statistic	p-value
α_0.1	0.06742	0.0001	51.21716	0.0000***
α_1.1	0.08625	0.0009	298.4291	0.0000***
α_2.1	0.35175	0.0000	478.2159	0.0000***
β₁	0.81402	0.0000	3,524.027	0.0000***
Ɛ₁	2.91176	0.0010	530.0439	0.0000***
Inc. vol	37.48%
α_0.2	0.08492	0.0002	135.413	0.0000***
α_1.2	0.14678	0.0009	466.426	0.0000***
α_2.2	0.29072	0.0000	359.009	0.0000***
β ₂	0.7626	0.0000	40,184.12	0.0000***
Ɛ₂	25.8264	0.6042	37.08391	0.0000***
Inc. vol	146.02%
Ƿ_1.1	0.7120	0.0075	329.516	0.0000***
Ƿ_2.2	0.1869	0.0097	195.007	0.0000***

Parameter	Estimate	Standard error	t-statistic	p-value
α_0.1	0.06742	0.0001	51.21716	0.0000***
α_1.1	0.08625	0.0009	298.4291	0.0000***
α_2.1	0.35175	0.0000	478.2159	0.0000***
β₁	0.81402	0.0000	3,524.027	0.0000***
Ɛ₁	2.91176	0.0010	530.0439	0.0000***
Inc. vol	37.48%
α_0.2	0.08492	0.0002	135.413	0.0000***
α_1.2	0.14678	0.0009	466.426	0.0000***
α_2.2	0.29072	0.0000	359.009	0.0000***
β ₂	0.7626	0.0000	40,184.12	0.0000***
Ɛ₂	25.8264	0.6042	37.08391	0.0000***
Inc. vol	146.02%
Ƿ_1.1	0.7120	0.0075	329.516	0.0000***
Ƿ_2.2	0.1869	0.0097	195.007	0.0000***

Note(s):

***Indicate significance at the 1% level

Source(s): Authors’ own creation