Table 4. Volatility estimates * (%)... | Emerald Publishing

Table 4.

Volatility estimates ^* (%)

Coefficients	APARCH					EGARCH
Coefficients	Greenex	Carbonex	Large-Cap	Mid-Cap	Small-Cap	Greenex	Carbonex	Mid-Cap
ω	0.09	0.20	0.23	0.15	0.11	−63.09^**	−51.48^**	−97.99^**
α	8.22^**	8.41^**	8.41^**	10.01^**	12.48^**	9.63^**	8.37^**	10.54^**
β	87.42^**	89.70^**	89.67^**	81.80^**	76.73^**	94.17^**	95.36^**	90.42^**
γ	99.99^**	99.98^**	99.99^**	99.99^**	87.84^**	−15.40^**	−16.81^**	−18.96^**
Dummy	0.05	0.10^*	0.12^*	0.07	0.06	6.57^**	5.47^**	8.83^**
δ	91.40^**	67.80^**	64.45^**	92.18^**	103.43^**
Durbin – Watson statistics	2.000	1.9998	1.9998	1.9996	1.9998	1.9999	1.9998	2.000
R²	0.4583	0.2134	0.1854	0.0378	0.0029	0.1041	0.0052	0.5800
Chi-square probability	0.4984	0.6441	0.6668	0.8457	0.9564	0.7470	0.9423	0.4463

Coefficients	APARCH					EGARCH
Coefficients	Greenex	Carbonex	Large-Cap	Mid-Cap	Small-Cap	Greenex	Carbonex	Mid-Cap
ω	0.09	0.20	0.23	0.15	0.11	−63.09^**	−51.48^**	−97.99^**
α	8.22^**	8.41^**	8.41^**	10.01^**	12.48^**	9.63^**	8.37^**	10.54^**
β	87.42^**	89.70^**	89.67^**	81.80^**	76.73^**	94.17^**	95.36^**	90.42^**
γ	99.99^**	99.98^**	99.99^**	99.99^**	87.84^**	−15.40^**	−16.81^**	−18.96^**
Dummy	0.05	0.10^*	0.12^*	0.07	0.06	6.57^**	5.47^**	8.83^**
δ	91.40^**	67.80^**	64.45^**	92.18^**	103.43^**
Durbin – Watsonstatistics	2.000	1.9998	1.9998	1.9996	1.9998	1.9999	1.9998	2.000
R²	0.4583	0.2134	0.1854	0.0378	0.0029	0.1041	0.0052	0.5800
Chi-square probability	0.4984	0.6441	0.6668	0.8457	0.9564	0.7470	0.9423	0.4463

Note:

**

Significant at 1 and

*

at 5% significance level

Source: Author’s Calculation