Table 2 Estimated parameters for the... | Emerald Publishing

Table 2

Estimated parameters for the extended EGARCH model with asymmetric thresholds

Period	2013–2018		2019–2022
Macro variable	IP	IRATE	IP	IRATE
Column	[A]	[B]	[C]	[D]
$μ$	0.052**	0.052***	0.003	0.00001
$α$	−0.109***	−0.132***	−0.179***	−0.112***
$β$	0.933***	0.913***	0.888***	0.948***
$γ$	0.217***	0.206***	0.244***	0.217***
$s^{+}$	0.036***	0.606***	−0.009	0.378***
$a^{+}$	−0.029**	−0.497***	0.008***	0.194***
$s^{-}$	0.106**	0.405***	0.023*	0.286**
$a^{-}$	0.105**	0.159**	−0.005	0.204*
$ξ^{+}$	70%	60%	90%	90%
$ξ^{-}$	50%	60%	80%	50%
$L L F$	−1978.925	−1972.427	−1460.876	−1465.287

Period	2013–2018		2019–2022
Macro variable	IP	IRATE	IP	IRATE
Column	[A]	[B]	[C]	[D]
$μ$	0.052**	0.052***	0.003	0.00001
$α$	−0.109***	−0.132***	−0.179***	−0.112***
$β$	0.933***	0.913***	0.888***	0.948***
$γ$	0.217***	0.206***	0.244***	0.217***
$s^{+}$	0.036***	0.606***	−0.009	0.378***
$a^{+}$	−0.029**	−0.497***	0.008***	0.194***
$s^{-}$	0.106**	0.405***	0.023*	0.286**
$a^{-}$	0.105**	0.159**	−0.005	0.204*
$ξ^{+}$	70%	60%	90%	90%
$ξ^{-}$	50%	60%	80%	50%
$L L F$	−1978.925	−1972.427	−1460.876	−1465.287

Note(s): (***), (**) and (*) indicate significance at 1%, 5% and 10% levels, respectively

Source(s): Researchers’ own computations