HS300 | 1.569 | |
0.054 | ||
0.561 |
Sample | Mean | Max | Min | SD | Skewness | Kurtosis | J-B | Q(10) | ARCHLM(10) | ADF |
---|---|---|---|---|---|---|---|---|---|---|
HS300 | 0.0200 | 3.8786 | −4.4987 | 0.8460 | −0.4424 | 6.4561 | 1419 (0.0000) | 17.56 (0.0022) | 251.86 (0.0000) | −37.00 (0.0000) |
Model Parameter | |||||||
---|---|---|---|---|---|---|---|
Estimated Value | −0.125 (0.021) | 0.264 (0) | 0.637 (0) | −0.053 (0.082) | 0.085 (0) | 1.025 (0) | 0.211 (0.641) |
Model | Confidence Level | Failed Days | Failure Rate | LR |
---|---|---|---|---|
GARCH | 95% | 155 | 5.60% | 2.034 |
GARCH-EVT | 95% | 136 | 4.92% | 0.042 |
QR-GRACH | 95% | 149 | 5.38% | 0.843 |
QR-GARCH-EVT | 95% | 132 | 4.77% | 0.311 |
GARCH | 99% | 32 | 1.16% | 0.390 |
GARCH-EVT | 99% | 30 | 1.08% | 0.977 |
QR-GRACH | 99% | 35 | 1.26% | 0.017 |
QR-GARCH-EVT | 99% | 31 | 1.12% | 1.262 |