Table 3 Results of ARMA-GARCH model
Parameter | Estimate | Std. Error | t Value | Pr( >|t|) |
|---|---|---|---|---|
\({\varvec{\mu}}\) | − 0.2960718 | 0.2892862 |  − 1.023 | 0.306 |
\({\varvec{\theta}}_{1}\) | 1.0000000 | 0.0003844 | 2601.617 |  < 2e-16 |
\({\varvec{\theta}}_{2}\) | − 0.0639492 | 0.0156287 | − 4.092 | 4.28e-05 |
\({\varvec{\omega}}\) | 2.6707021 | 15.2581437 | 0.175 | 0.861 |
\({\varvec{\alpha}}\) | 0.1908938 | 0.0263213 | 7.252 | 4.09e-13 |
\({\varvec{\beta}}\) | 0.8677709 | 0.0120312 | 72.127 |  < 2e-16 |
\({\varvec{\nu}}\) | 2.9467093 | 0.1538744 | 19.150 |  < 2e-16 |