Page 56 - Textos de Matemática Vol. 47

46
J. LEITE
↵1 1 K
0.25 0.5
1 0.3 0.8 38.55 81
0.5 0.7 0.61 0.5 0.53 0.53
0.3 0.75 0.65 0.37
37.33 98 11.46 97 6.97 98
39.49 97
⇢ˆ1 (1) > ⇢ˆ1 (2) Score (out of 100)
11.73 91 0.545 0.545 6.94 93
2
0.7 0.1 0.53 0.53
0.3 0.686 0.68 0.1 0.44 0.44
11.60 58 6.57 66
38.51 28 11.21 11 6.62 9
Table 1. Simulation results considering the -TGARCH(1,1) model with ↵0 = 1, 1 = 0.1, Zt ⇠ Gaussian and , ↵1, 1 specified above and K is the model theoretical kurtosis.
↵1 1 K
⇢ˆ1 (1) > ⇢ˆ1 (2) Score (out of 100)
0.25 0.46 0.35
0.2 0.5 0.2
0.4 0.2
1 0.2 0.47
0.2
2 0.1
0.35 0.15
Table 2. Simulation results considering the -TGARCH(1,1) model with ↵0 = 1, 1 = 0.1, Zt ⇠ Laplace and , ↵1, 1 specified above and K is the model theoretical kurtosis.
0.6 0.2 0.2
0.62 0.05 0.2
0.645 0.1 0.2
38.73 99 11.44 99 6.91 98
38.82 93 11.94 83 6.73 95
37.59 82 11.2 78 6.68 79
0.5
0.19
0.15 6.82 35
33.6 45 11.25 31