Table IV Estimates of GARCH (1, 1) model...

Table IV

Estimates of GARCH (1, 1) model

	Standard GARCH		Extended GARCH
Parameters/models	Estimates	SE	Estimates	SE
ω	0.0130*	0.0023	0.0946*	0.0144
α	0.1153*	0.0074	0.1372*	0.0149
β	0.8886*	0.0063	0.7642*	0.0208
Persistence	1.0039		0.9014
Log likelihood	−3,355.48		−3,280.97
AIC	3.032		2.980
BIC	3.045		3.034

	Standard GARCH		Extended GARCH
Parameters/models	Estimates	SE	Estimates	SE
ω	0.0130*	0.0023	0.0946*	0.0144
α	0.1153*	0.0074	0.1372*	0.0149
β	0.8886*	0.0063	0.7642*	0.0208
Persistence	1.0039		0.9014
Log likelihood	−3,355.48		−3,280.97
AIC	3.032		2.980
BIC	3.045		3.034

Notes: This table shows the estimates of the GARCH (1, 1) process. The extended GARCH model incorporates structural breaks. Persistence is measured as α + β. AIC and BIC refer to Akaike and Bayesian information criteria. *Coefficient is statistically significant at 1 percent level

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