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Table 3 The simulation results for sequence II \((\epsilon , \sigma _{1}, \sigma _{2})=(0.75, 1, \sqrt{7})\)

From: Empirical likelihood inference for threshold autoregressive conditional heteroscedasticity model

\((\theta _{1}, \theta _{2}, \alpha _{0}, \alpha _{1}, \alpha _{2})\) n = 100 n = 300 n = 500
(0.1,0.1,1,0.1,0.1) 0.9680 (0.3430) 0.9390 (0.7960) 0.9400 (0.8040)
(0.1,0.1,3,0.3,0.3) 0.9780 (0.3620) 0.9250 (0.7850) 0.9330 (0.7900)
(0.1,0.1,5,0.5,0.5) 0.9730 (0.3750) 0.9320 (0.8040) 0.9510 (0.7970)
(0.1,0.1,7,0.7,0.7) 0.9680 (0.3750) 0.9380 (0.7980) 0.9410 (0.7850)
(−0.1,−0.1,1,0.1,0.1) 0.9690 (0.3640) 0.9380 (0.7750) 0.9340 (0.8000)
(−0.1,−0.1,3,0.3,0.3) 0.9800 (0.3580) 0.9310 (0.7910) 0.9280 (0.7820)
(−0.1,−0.1,5,0.5,0.5) 0.9690 (0.3480) 0.9240 (0.8050) 0.9350 (0.7860)
(−0.1,−0.1,7,0.7,0.7) 0.9740 (0.3400) 0.9420 (0.7770) 0.9370 (0.7880)
(0.2,0.2,1,0.1,0.1) 0.9700 (0.3940) 0.9310 (0.7890) 0.9400 (0.7970)
(0.2,0.2,3,0.3,0.3) 0.9740 (0.3700) 0.9360 (0.7960) 0.9330 (0.7800)
(0.2,0.2,5,0.5,0.5) 0.9710 (0.3890) 0.9370 (0.7820) 0.9460 (0.7870)
(−0.2,−0.2,1,0.1,0.1) 0.9700 (0.3890) 0.9370 (0.7820) 0.9230 (0.7760)
(−0.2,−0.2,3,0.3,0.3) 0.9630 (0.3940) 0.9420 (0.8110) 0.9380 (0.7840)
(−0.2,−0.2,5,0.5,0.5) 0.9650 (0.3780) 0.9270 (0.7810) 0.9280 (0.7740)
(0.3,0.3,1,0.1,0.1) 0.9660 (0.4020) 0.9190 (0.7720) 0.9470 (0.8060)
(0.3,0.3,3,0.3,0.3) 0.9680 (0.3680) 0.9330 (0.7940) 0.9450 (0.8080)
(−0.3,−0.3,1,0.1,0.1) 0.9710 (0.4050) 0.9270 (0.7720) 0.9350 (0.7900)
(−0.3,−0.3,3,0.3,0.3) 0.9820 (0.3950) 0.9440 (0.7900) 0.9350 (0.7850)
(0.4,0.4,1,0.1,0.1) 0.9670 (0.3610) 0.9420 (0.7940) 0.9420 (0.7750)
(0.4,0.4,1,0.3,0.3) 0.9690 (0.3740) 0.9360 (0.7960) 0.9470 (0.8010)
(−0.4,−0.4,1,0.1,0.1) 0.9740 (0.4120) 0.9250 (0.7790) 0.9330 (0.7930)
(−0.4,−0.4,1,0.3,0.3) 0.9760 (0.3970) 0.9440 (0.8030) 0.9260 (0.7890)
(0.5,0.5,1,0.1,0.1) 0.9800 (0.4140) 0.9310 (0.8010) 0.9320 (0.7960)
(−0.5,−0.5,1,0.1,0.1) 0.9820 (0.4290) 0.9370 (0.7910) 0.9390 (0.7930)
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