Table VIII Volatility prediction... | Emerald Publishing

Table VIII

Volatility prediction performance

Models →	GARCH (1, 1)	Extended GARCH (1, 1)	TGARCH	Extended TGARCH	EGARCH	Extended EGARCH
a	0.8456*	1.0333*	0.9604*	1.1302*	1.7122*	0.5738*
b	0.4883*	0.3710*	0.4224*	0.3213*	0.0440*	0.6620*
R²	0.029	0.072	0.027	0.065	0.011	0.033

Models →	GARCH (1, 1)	Extended GARCH (1, 1)	TGARCH	Extended TGARCH	EGARCH	Extended EGARCH
a	0.8456*	1.0333*	0.9604*	1.1302*	1.7122*	0.5738*
b	0.4883*	0.3710*	0.4224*	0.3213*	0.0440*	0.6620*
R²	0.029	0.072	0.027	0.065	0.011	0.033

Note: *Coefficient is statistically significant at 1 percent level