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(32.8) (2.86)
〖lnσ〗_t^2=-.93+0.37|ε_(t-1)/σ_(t-1) |+0.003 ε_(t-1)/σ_(t-1) +0.93lnσ_(t-1)^2
(84.9) (0.17) (11.49) (8.02-)

t
y_t=-.01+1.35y_(t-1)-0.36y_(t-2)-0.97u_(t-1)-0.05σ
(0.72-) (92.6-) (13.5-) (48.1) (0.45-)
〖lnσ〗_t^2=-.44+0.32|ε_(t-1)/σ_(t-1) |+0.05 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(114.4) (1.79) (6.6) (4.5-)

GED
y_t=-.01+1.35y_(t-1)-0.36y_(t-2)-0.95u_(t-1)-0.06σ
(0.8) (0.96-) (14.6-) (51.3) (0.48-)
〖lnσ〗_t^2=-.57+0.31|ε_(t-1)/σ_(t-1) |+0.04 ε_(t-1)/σ_(t-1) +0.96lnσ_(t-1)^2
(86.4) (1.28) (6.3) (4.5-)
IGARCH
نرمال
y_t=.001-0.43y_(t-1)+0.2y_(t-2)+0.84u_(t-1)
(15.7) (5.22) (7.41) (5.8)
σ_t^2=0.04ε_(t-1)^2+0.96σ_(t-1)^2
(442.2) (20.5)

t
y_t=.001-0.39y_(t-1)+0.27y_(t-2)+0.84u_(t-1)
(14.3) (6.2) (5.9-) (0.09)
σ_t^2=0.11ε_(t-1)^2+0.89σ_(t-1)^2
(83.5) (10.4)

GED
y_t=.001-0.28y_(t-1)+0.21y_(t-2)+0.72u_(t-1)
(7.17) (3.8) (2.63-) (0.5-)
σ_t^2=0.09ε_(t-1)^2+0.91σ_(t-1)^2
(93.9) (9.1)
IGARCH-M
نرمال
y_t=.004-0.57y_(t-1)+0.23y_(t-2)+0.96u_(t-1)-0.41σ
(4.65-) (825.1) (10.66) (27.7-) (9.12)
σ_t^2=0.03ε_(t-1)^2+0.97σ_(t-1)^2
(416.5) (12.6)

t
y_t=.001-0.39y_(t-1)+0.27y_(t-2)+0.84u_(t-1)-0.01σ
(0.11-) (14.3) (6.25) (5.8-) (0.06)
σ_t^2=0.11ε_(t-1)^2+0.89σ_(t-1)^2
(83.4) (10.4)

GED
y_t=.001-0.29y_(t-1)+0.21y_(t-2)+0.73u_(t-1)-0.02σ
(0.2-) (7.4) (3.9) (2.8-) (0.5)
σ_t^2=0.09ε_(t-1)^2+0.91σ_(t-1)^2
(93.9) (9.14)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت دارو
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.001+0.9y_(t-1)-0.50u_(t-1)-0.17u_(t-2)
(4.5-) (11.3-) (40.1) (1.7)
σ_t^2=.001+0.31ε_(t-1)^2+0.64σ_(t-1)^2
(24.1) (11.4) (11.3)

t
y_t=-.001+0.89y_(t-1)-0.51u_(t-1)-0.17u_(t-2)
(5.2-) (13.1-) (39.4) (0.2-)
σ_t^2=.001+0.50ε_(t-1)^2+0.68σ_(t-1)^2
(20.4) (4.7) (3.2)

GED
y_t=-.001+0.86y_(t-1)-0.48u_(t-1)-0.16u_(t-2)
(5.8-) (13.7-) (37.4) (0.7-)
σ_t^2=.001+0.39ε_(t-1)^2+0.67σ_(t-1)^2
(15.1) (5.6) (3.8)
GARCH-M
نرمال
y_t=.001+0.92y_(t-1)-0.49u_(t-1)-0.18u_(t-2)-0.12σ
(0.93-) (4.4-) (11.9-) (41.8) (0.85)
σ_t^2=.001+0.31ε_(t-1)^2+0.64σ_(t-1)^2
(23.5) (11.28) (11.02)

t
y_t=-.01+0.86y_(t-1)-0.51u_(t-1)-0.18u_(t-2)-0.01σ
(0.22-) (5.29-) (13.3-) (37.7) (0.29-)
σ_t^2=.001+0.5ε_(t-1)^2+0.68σ_(t-1)^2
(20.3) (4.7) (3.3)

GED
y_t=-.01+0.88y_(t-1)-0.52u_(t-1)-0.17u_(t-2)-0.03σ
(0.47-) (6.3-) (15.2-) (40.3) (0.03-)
σ_t^2=.001+0.41ε_(t-1)^2+0.66σ_(t-1)^2
(15.1) (5.6) (3.93)
EGARCH
نرمال
y_t=.001+0.88y_(t-1)-0.44u_(t-1)-0.12u_(t-2)
(3.3-) (11.4-) (37.2) (2.8)
〖lnσ〗_t^2=-.3+0.07|ε_(t-1)/σ_(t-1) |+0.14 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(389.8) (12.8) (10.6) (11.9-)

t
y_t=.001+0.89y_(t-1)-0.52u_(t-1)-0.18u_(t-2)
(6.22-) (15.4-) (37.9) (0.4)
〖lnσ〗_t^2=-.15+0.12|ε_(t-1)/σ_(t-1) |+0.8 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(349.8) (4.4) (4.5) (4.3-)

GED
y_t=-.01+0.84y_(t-1)-0.46u_(t-1)-0.15u_(t-2)
(5.3-) (12.2-) (38.8) (0.4)
〖lnσ〗_t^2=-.18+0.10|ε_(t-1)/σ_(t-1) |+0.08 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(316.1) (4.6) (4.8) (4.9-)
EGARCH-M
نرمال
y_t=.001+0.86y_(t-1)-0.42u_(t-1)-0.11u_(t-2)+0.13σ
(1.46) (2.8-) (10.1-) (29.4) (3.02)
〖lnσ〗_t^2=-.22+0.07|ε_(t-1)/σ_(t-1) |+0.13 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(237.9) (13.1) (6.9) (4.5-)

t
y_t=.001+0.81y_(t-1)-0.52u_(t-1)-0.18u_(t-2)+0.02σ
(0.41) (5.9-) (14.1-) (31.2) (0.5)
〖lnσ〗_t^2=-.14+0.11|ε_(t-1)/σ_(t-1) |+0.08 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(358.9) (4.6) (4.5) (4.1-)

GED
y_t=-.01+0.83y_(t-1)-0.46u_(t-1)-0.15u_(t-2)+0.03σ
(0.5) (5.36-) (11.4-) (24.4) (0.2)
〖lnσ〗_t^2=-.17+0.10|ε_(t-1)/σ_(t-1) |+0.08 ε_(t-1)/σ_(t-1) +0.99lnσ_(t-1)^2
(331.5) (4.8) (4.6) (4.5-)
IGARCH
نرمال
y_t=.002+0.84y_(t-1)-0.39u_(t-1)-0.11u_(t-2)
(4.22-) (11.4-) (32.5) (8.4)
σ_t^2=0.02ε_(t-1)^2+0.98σ_(t-1)^2
(1019.8) (24.7)

t
y_t=.001+0.89y_(t-1)-0.52u_(t-1)-0.18u_(t-2)
(6.1-) (15.1-) (39.2) (0.006)
σ_t^2=0.10ε_(t-1)^2+0.90σ_(t-1)^2
(96.6) (10.9)

GED
y_t=.001+0.83y_(t-1)-0.45u_(t-1)-0.14u_(t-2)
(5.67-) (12.7-) (30.3) (1.04-)
σ_t^2=0.06ε_(t-1)^2+0.94σ_(t-1)^2
(155.6) (10.2)
IGARCH-M
نرمال
y_t=.002+0.86y_(t-1)-0.41u_(t-1)-0.13u_(t-2)-0.13σ
(1.63-) (4.8-) (12.18-) (33.1) (3.8)
σ_t^2=0.025ε_(t-1)^2+0.975σ_(t-1)^2
(965.8) (24.5)

t
y_t=.001+0.90y_(t-1)-0.52u_(t-1)-0.19u_(t-2)-0.02σ
(0.4-) (6.38-) (15.6-) (39.5) (0.26)
σ_t^2=0.10ε_(t-1)^2+0.9σ_(t-1)^2
(96.8) (10.9)

GED
y_t=-.01+0.84y_(t-1)-0.46u_(t-1)-0.15u_(t-2)-0.03σ
(0.6-) (5.6-) (12.9-) (30.4) (0.9)
σ_t^2=0.06ε_(t-1)^2+0.94σ_(t-1)^2
(154.8) (10.1)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت خودرو
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.001+0.38u_(t-1)
(12.9) (1.63)
σ_t^2=.001+0.05ε_(t-1)^2+0.93σ_(t-1)^2
(102.1) (6.4) (4.3)

t
y_t=-.001+0.41u_(t-1)
(14.21) (0.17)
σ_t^2=.001+0.11ε_(t-1)^2+0.87σ_(t-1)^2
(34.1) (4.4) (2.3)

GED
y_t=.001+0.42u_(t-1)
(14.4) (0.23)
σ_t^2=.001+0.07ε_(t-1)^2+0.91σ_(t-1)^2
(53.8) (4.7) (3.1)
GARCH-M
نرمال
y_t=.001+0.38u_(t-1)-0.03σ
(0.02) (13.3) (0.74)
σ_t^2=.001+0.05ε_(t-1)^2+0.93σ_(t-1)^2
(103.1) (6.3) (
3.95)

t
y_t=-.002+0.4u_(t-1)+0.06σ
(1.59) (13.8) (1.6-)
σ_t^2=.001+0.13ε_(t-1)^2+0.86σ_(t-1)^2
(30.8) (4.4) (2.4)

GED
y_t=-.001+0.42u_(t-1)+0.06σ
(0.5) (14.3) (0.42-)
σ_t^2=.001+0.08ε_(t-1)^2+0.9σ_(t-1)^2
(51.3) (4.6) (3.1)
EGARCH
نرمال
y_t=.001+0.37u_(t-1)
(13.8) (1.8)
〖lnσ〗_t^2=-.25+0.09|ε_(t-1)/σ_(t-1) |+0.02 ε_(t-1)/σ_(t-1) +0.98lnσ_(t-1)^2
(202.8) (2.1) (4.5) (5.5-)

t
y_t=-.001+0.4u_(t-1)
(14.6) (0.16-)
〖lnσ〗_t^2=-.35+0.17|ε_(t-1)/σ_(t-1) |+0.03 ε_(t-1)/σ_(t-1) +0.95lnσ_(t-1)^2
(104.5) (1.4) (4.8) (3.9-)

GED
y_t=.001+0.4u_(t-1)
(14.8) (0.3)
〖lnσ〗_t^2=-.32+0.13|ε_(t-1)/σ_(t-1) |+0.02 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(131.8) (1.4) (4.3) (4.4-)
EGARCH-M
نرمال
y_t=.001+0.38u_(t-1)+0.01σ
(0.09) (13.8) (0.5)
〖lnσ〗_t^2=-.26+0.09|ε_(t-1)/σ_(t-1) |+0.02 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(199.6) (1.96) (4.5) (5.4-)

t
y_t=-.003+0.4u_(t-1)+0.21σ
(2.29) (2.2-) (14.1-)
〖lnσ〗_t^2=-.38+0.20|ε_(t-1)/σ_(t-1) |+0.03 ε_(t-1)/σ_(t-1) +0.97lnσ_(t-1)^2
(98.1) (1.5) (5.2) (4.01-)

GED
y_t=-.002+0.4u_(t-1)+0.15σ
(1.3) (14.4) (1.24-)
〖lnσ〗_t^2=-.37+0.15|ε_(t-1)/σ_(t-1) |+0.03 ε_(t-1)/σ_(t-1) +0.96lnσ_(t-1)^2
(121.01) (1.4) (4.6) (4.6-)
IGARCH
نرمال
y_t=.001+0.37u_(t-1)
(15.7) (2.5)
σ_t^2=0.04ε_(t-1)^2+0.96σ_(t-1)^2
(294.2) (10.7)

t
y_t=-.001+0.41u_(t-1)
(16.3) (0.37-)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(98.2) (7.4)

GED
y_t=-.001+0.41u_(t-1)
(16.7) (0.15)
σ_t^2=0.05ε_(t-1)^2+0.95σ_(t-1)^2
(163.6) (7.5)
IGARCH-M
نرمال
y_t=.002+0.37u_(t-1)-0.11σ
(1.3-) (15.9) (2.7)
σ_t^2=0.04ε_(t-1)^2+0.96σ_(t-1)^2
(258.7) (10.3)

t
y_t=-.001+0.40u_(t-1)+0.1σ
(1.3) (16.1) (1.61-)
σ_t^2=0.07ε_(t-1)^2+0.93σ_(t-1)^2
(94.8) (7.8)

GED
y_t=-.001+0.41u_(t-1)-0.03σ
(0.36-) (16.8) (0.46)
σ_t^2=0.04ε_(t-1)^2+0.96σ_(t-1)^2
(161.9) (7.4)

مدل‌های میانگین و واریانس شرطی برآورده شدهِ صنعت فلزات اساسی
مدل
توزیع
میانگین شرطی
واریانس شرطی
GARCH
نرمال
y_t=.001+0.9y_(t-1)-0.59u_(t-1)-0.23u_(t-2)

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