Estimation | LogRV | LogminRV | LogmedRV |
---|---|---|---|
θ C1 | −0.573789* (0.197060) | −0.572602* (0.175907) | −0.621407* (0.176719) |
Heterogeneous component: θ d1,day | 0.238119* (0.040082) | 0.397943* (0.037278) | 0.434135* (0.037851) |
 θ d2,day | 0.149237* (0.041986) | 0.075528** (0.042429) |  |
 θ w1,week | 0.392877* (0.078684) | 0.302916* (0.071121) | 0.347932* (0.055810) |
 θ m1,month | 0.153743* (0.047953) | 0.161430* (0.043576) | 0.149333* (0.042079) |
Break effect for | |||
 θ break, C1 | −1.488235* (0.536629) | −1.249370** (0.642890) | −1.175957* (0.606153) |
 θ break−d1,day | −0.087813 (0.068330) | −0.189498* (0.070081) | −0.195154** (0.066462) |
 θ break−d2,day | −0.077450 (0.070632) | 0.035078 (0.082032) |  |
 θ break−w1,week | −0.151890 (0.147371) | −0.018500 (0.164841) | 0.053065 (0.119166) |
 θ break−m1,month | 0.170241 (0.111817) | 0.058175 (0.119320) | 0.035186 (0.109871) |
GARCH component: | Â | Â | Â |
 α 0 | 0.010233* (0.003360) | 0.020017* (0.008815) | 0.010039* (0.004323) |
 ARCH effect, α 1 | 0.040633* (0.009244) | 0.048335* (0.013916) | 0.043843* (0.010526) |
 GARCH effect, β 1 | 0.928107* (0.015973) | 0.874404* (0.043618) | 0.915048* (0.024605) |
Selection | |||
 AIC | 1.674161 | 1.478626 | 1.404343 |
 SIC | 1.719692 | 1.524157 | 1.442849 |
 HIC | 1.691111 | 1.495576 | 1.418677 |
Diagnostic | |||
 Q(10) for standardized a t | 7.9452 | 7.4558 | 14.238 |
 Q(10) for standardized a 2 t | 7.5748 | 6.2532 | 4.5178 |