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Table 2 Results from ARMA (1, 1)-GARCH (1, 1) model

From: Extreme value modelling of Ghana stock exchange index

Parameter Estimate Standard error P value
AR (1) 0.8986 0.01562 0.000
MA (1) −0.8437 0.02327 0.000
\( \omega \) 6.405 × 10−8 0.918 0.3587
\( \alpha \) 0.1204 0.1797 0.000
\( \beta \) 0.7912 0.03566 0.000