Table 2 Estimation results for... | Emerald Publishing

Table 2

Estimation results for EGARCH(1,1) model

Variable	Coefficient	Std. Error
Mean equation: $R b_{t} = μ + θ Δ {V I X T A}_{t} + ε_{t}$
C	0.000180***	4.34E−05
$Δ V I X T A$	−0.000426***	0.000107
Variance equation: $\log (h_{t}) = ω + α [\frac{\| ε_{t - 1} \|}{h_{t - 1}}] + β (\frac{ε_{t - 1}}{σ_{t - 1}}) + γ \log (h_{t - 1}^{2}) + δ Δ {V I X T A}_{t}$
$ω$	−0.485080***	0.066962
$α$	0.227581***	0.021206
$β$	−0.052826***	0.013829
$γ$	0.975320***	0.004814
$Δ V I X T A$	0.087034***	0.015642
R-squared	0.021999
Adjusted R-squared	0.021212
Akaike info criterion	−9.682689
Schwarz criterion	−9.653845
Hannan–Quinn criterion	−9.671843

Variable	Coefficient	Std. Error
Mean equation: $R b_{t} = μ + θ Δ {V I X T A}_{t} + ε_{t}$
C	0.000180***	4.34E−05
$Δ V I X T A$	−0.000426***	0.000107
Variance equation: $\log (h_{t}) = ω + α [\frac{\| ε_{t - 1} \|}{h_{t - 1}}] + β (\frac{ε_{t - 1}}{σ_{t - 1}}) + γ \log (h_{t - 1}^{2}) + δ Δ {V I X T A}_{t}$
$ω$	−0.485080***	0.066962
$α$	0.227581***	0.021206
$β$	−0.052826***	0.013829
$γ$	0.975320***	0.004814
$Δ V I X T A$	0.087034***	0.015642
R-squared	0.021999
Adjusted R-squared	0.021212
Akaike info criterion	−9.682689
Schwarz criterion	−9.653845
Hannan–Quinn criterion	−9.671843

Note(s): Rb: Tel-Bond 20 returns; Significance: ***1%; **5% and *10%. Obs.: 1,244

Source(s): Author’s own work