ARCH and GARCH models considered more efficient
| Model | Variance equation | Probability | Distribution | Standard error | AIC | BIC | HQ | ARCH – LM test | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| TR2 | Probability χ2 | ||||||||||
| D(TIRUSSIA) | EGARCH (1.2) | ω | −0.7145 | 0.0000 | t-Student | 0.000 | −19.131 | −19.119 | −19.126 | 0.228 | 0.633 |
| α | 0.4538 | 0.0000 | |||||||||
| γ | 0.5610 | 0.0000 | |||||||||
| β1 | 0.6431 | 0.0000 | |||||||||
| β2 | 0.3362 | 0.0000 | |||||||||
| D(MIBOR) | EGARCH (2.2) | ω | −0.2671 | 0.0000 | t-Student | 0.000 | −21.694 | −21.681 | −21.689 | 0.195 | 0.658 |
| α1 | 4.7927 | 0.0000 | |||||||||
| α2 | −4.0402 | 0.0000 | |||||||||
| γ | −0.1065 | 0.0053 | |||||||||
| β1 | 1.4364 | 0.0000 | |||||||||
| β2 | −0.4452 | 0.0000 | |||||||||
| D(SHIBOR) | EGARCH (2.2) | ω | −0.0778 | 0.0000 | t-Student | 0.000 | −22.691 | −22.663 | −22.680 | 0.088 | 0.767 |
| α1 | 2.0093 | 0.0004 | |||||||||
| α2 | −1.8252 | 0.0004 | |||||||||
| γ | 0.0838 | 0.0006 | |||||||||
| β1 | 1.5078 | 0.0000 | |||||||||
| β2 | −0.5089 | 0.0000 | |||||||||
| D(TICHILE) | ARCH (1) | α0 | 0.0000 | 0.0000 | t-Student | 0.000 | −22.663 | −22.657 | −22.661 | 0.236 | 0.878 |
| α1 | 0.1714 | 0.0000 | |||||||||
| D(BAIBOR) | ARCH (4) | α0 | 0.0000 | 0.0000 | t-Student | 0.000 | −23.189 | −23.179 | −23.185 | 0.219 | 0.640 |
| α1 | 0.7445 | 0.0000 | |||||||||
| α2 | 0.2408 | 0.0000 | |||||||||
| α3 | 0.1744 | 0.0000 | |||||||||
| α4 | 0.3186 | 0.0000 | |||||||||
| D(TIIE) | EGARCH (2.2) | ω | −0.0838 | 0.0000 | t-Student | 0.000 | −23.900 | −23.886 | −23.895 | 0.000 | 0.994 |
| α1 | 0.2186 | 0.0000 | |||||||||
| α2 | −0.0547 | 0.0334 | |||||||||
| γ | −0.0169 | 0.0472 | |||||||||
| β1 | 0.4237 | 0.0000 | |||||||||
| β2 | 0.5774 | 0.0000 | |||||||||
| D(FFUNDS) | EGARCH (2.1) | ω | 0.0204 | 0.0000 | t-Student | 0.000 | −24.563 | −24.555 | −24.560 | 0.389 | 0.533 |
| α1 | 4.2265 | 0.0000 | |||||||||
| α2 | −3.8736 | 0.0000 | |||||||||
| γ | 0.3350 | 0.0000 | |||||||||
| β1 | 1.0025 | 0.0000 | |||||||||
| D(EURIBOR) | EGARCH (2.1) | ω | −8.9048 | 0.0000 | t-Student | 0.000 | −23.759 | −23.748 | −23.755 | 2.432 | 0.119 |
| α1 | 10.5311 | 0.0906 | |||||||||
| α2 | −2.4322 | 0.0944 | |||||||||
| γ | −1.2629 | 0.0965 | |||||||||
| β1 | 0.6168 | 0.0000 | |||||||||
| D(TMIR) | EGARCH (2.2) | ω | 0.0034 | 0.0000 | t-Student | 0.000 | −29.346 | −29.332 | −29.341 | 0.007 | 0.932 |
| α1 | 4.3594 | 0.0000 | |||||||||
| α2 | −3.3088 | 0.0000 | |||||||||
| γ | −1.0511 | 0.0000 | |||||||||
| β1 | 1.1817 | 0.0000 | |||||||||
| β2 | −0.1795 | 0.0000 | |||||||||
| Model | Variance equation | Probability | Distribution | Standard error | AIC | BIC | HQ | ARCH – LM test | |||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Probability χ2 | |||||||||||
| D(TIRUSSIA) | EGARCH (1.2) | −0.7145 | 0.0000 | t-Student | 0.000 | −19.131 | −19.119 | −19.126 | 0.228 | 0.633 | |
| 0.4538 | 0.0000 | ||||||||||
| 0.5610 | 0.0000 | ||||||||||
| 0.6431 | 0.0000 | ||||||||||
| 0.3362 | 0.0000 | ||||||||||
| D(MIBOR) | EGARCH (2.2) | −0.2671 | 0.0000 | t-Student | 0.000 | −21.694 | −21.681 | −21.689 | 0.195 | 0.658 | |
| 4.7927 | 0.0000 | ||||||||||
| −4.0402 | 0.0000 | ||||||||||
| −0.1065 | 0.0053 | ||||||||||
| 1.4364 | 0.0000 | ||||||||||
| −0.4452 | 0.0000 | ||||||||||
| D(SHIBOR) | EGARCH (2.2) | −0.0778 | 0.0000 | t-Student | 0.000 | −22.691 | −22.663 | −22.680 | 0.088 | 0.767 | |
| 2.0093 | 0.0004 | ||||||||||
| −1.8252 | 0.0004 | ||||||||||
| 0.0838 | 0.0006 | ||||||||||
| 1.5078 | 0.0000 | ||||||||||
| −0.5089 | 0.0000 | ||||||||||
| D(TICHILE) | ARCH (1) | 0.0000 | 0.0000 | t-Student | 0.000 | −22.663 | −22.657 | −22.661 | 0.236 | 0.878 | |
| 0.1714 | 0.0000 | ||||||||||
| D(BAIBOR) | ARCH (4) | 0.0000 | 0.0000 | t-Student | 0.000 | −23.189 | −23.179 | −23.185 | 0.219 | 0.640 | |
| 0.7445 | 0.0000 | ||||||||||
| 0.2408 | 0.0000 | ||||||||||
| 0.1744 | 0.0000 | ||||||||||
| 0.3186 | 0.0000 | ||||||||||
| D(TIIE) | EGARCH (2.2) | −0.0838 | 0.0000 | t-Student | 0.000 | −23.900 | −23.886 | −23.895 | 0.000 | 0.994 | |
| 0.2186 | 0.0000 | ||||||||||
| −0.0547 | 0.0334 | ||||||||||
| −0.0169 | 0.0472 | ||||||||||
| 0.4237 | 0.0000 | ||||||||||
| 0.5774 | 0.0000 | ||||||||||
| D(FFUNDS) | EGARCH (2.1) | 0.0204 | 0.0000 | t-Student | 0.000 | −24.563 | −24.555 | −24.560 | 0.389 | 0.533 | |
| 4.2265 | 0.0000 | ||||||||||
| −3.8736 | 0.0000 | ||||||||||
| 0.3350 | 0.0000 | ||||||||||
| 1.0025 | 0.0000 | ||||||||||
| D(EURIBOR) | EGARCH (2.1) | −8.9048 | 0.0000 | t-Student | 0.000 | −23.759 | −23.748 | −23.755 | 2.432 | 0.119 | |
| 10.5311 | 0.0906 | ||||||||||
| −2.4322 | 0.0944 | ||||||||||
| −1.2629 | 0.0965 | ||||||||||
| 0.6168 | 0.0000 | ||||||||||
| D(TMIR) | EGARCH (2.2) | 0.0034 | 0.0000 | t-Student | 0.000 | −29.346 | −29.332 | −29.341 | 0.007 | 0.932 | |
| 4.3594 | 0.0000 | ||||||||||
| −3.3088 | 0.0000 | ||||||||||
| −1.0511 | 0.0000 | ||||||||||
| 1.1817 | 0.0000 | ||||||||||
| −0.1795 | 0.0000 | ||||||||||
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