Table V Estimates of TGARCH model...

Table V

Estimates of TGARCH model

	Standard TGARCH		Extended TGARCH
Parameters/models	Estimates	SE	Estimates	SE
ω	0.0137*	0.0024	0.0987*	0.0143
α	0.0910*	0.0086	0.0956*	0.0154
β	0.8855*	0.0063	0.7586*	0.0207
γ	0.0546*	0.0125	0.0919*	0.0235
Persistence	1.0038		0.9001
Log likelihood	−3,351.34		−3,276.38
AIC	3.030		2.976
BIC	3.045		3.033

	Standard TGARCH		Extended TGARCH
Parameters/models	Estimates	SE	Estimates	SE
ω	0.0137*	0.0024	0.0987*	0.0143
α	0.0910*	0.0086	0.0956*	0.0154
β	0.8855*	0.0063	0.7586*	0.0207
γ	0.0546*	0.0125	0.0919*	0.0235
Persistence	1.0038		0.9001
Log likelihood	−3,351.34		−3,276.38
AIC	3.030		2.976
BIC	3.045		3.033

Notes: This table shows the estimates of the TGARCH process. The extended TGARCH model incorporates structural breaks. Persistence is measured as α + β + (1/2)γ. AIC and BIC refer to Akaike and Bayesian information criteria. *Coefficient is statistically significant at 1 percent level

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