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Table 4 The simulation results for sequence III \((\epsilon , \sigma , k)=(0.2, 1, 6)\)

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) 0.9560 (0.3180) 0.9400 (0.7260) 0.9490 (0.7200)
(0.1,0.1,3,0.3,0.3) 0.9500 (0.3130) 0.9460 (0.7090) 0.9380 (0.7000)
(0.1,0.1,5,0.5,0.5) 0.9510 (0.3440) 0.9320 (0.7330) 0.9420 (0.7180)
(0.1,0.1,7,0.7,0.7) 0.9570 (0.3270) 0.9400 (0.7110) 0.9270 (0.7230)
(−0.1,−0.1,1,0.1,0.1) 0.9510 (0.3270) 0.9340 (0.7110) 0.9220 (0.6960)
(−0.1,−0.1,3,0.3,0.3) 0.9580 (0.3640) 0.9200 (0.7030) 0.9350 (0.7330)
(−0.1,−0.1,5,0.5,0.5) 0.9460 (0.3460) 0.9260 (0.7120) 0.9270 (0.7050)
(−0.1,−0.1,7,0.7,0.7) 0.9640 (0.3350) 0.9120 (0.6850) 0.9390 (0.7320)
(0.2,0.2,1,0.1,0.1) 0.9630 (0.3550) 0.9310 (0.7180) 0.9330 (0.7140)
(0.2,0.2,3,0.3,0.3) 0.9520 (0.3470) 0.9290 (0.7310) 0.9440 (0.7400)
(0.2,0.2,5,0.5,0.5) 0.9390 (0.3330) 0.9360 (0.7250) 0.9500 (0.7210)
(−0.2,−0.2,1,0.1,0.1) 0.9600 (0.3430) 0.9470 (0.7390) 0.9440 (0.7260)
(−0.2,−0.2,3,0.3,0.3) 0.9560 (0.3290) 0.9480 (0.7220) 0.9370 (0.7020)
(−0.2,−0.2,5,0.5,0.5) 0.9540 (0.3490) 0.9390 (0.7460) 0.9380 (0.7250)
(0.3,0.3,1,0.1,0.1) 0.9600 (0.3650) 0.9370 (0.7270) 0.9220 (0.7320)
(0.3,0.3,3,0.3,0.3) 0.9570 (0.3550) 0.9410 (0.7260) 0.9490 (0.7210)
(−0.3,−0.3,1,0.1,0.1) 0.9610 (0.3520) 0.9410 (0.7320) 0.9390 (0.7150)
(−0.3,−0.3,3,0.3,0.3) 0.9500 (0.3740) 0.9390 (0.7500) 0.9380 (0.7280)
(0.4,0.4,1,0.1,0.1) 0.9620 (0.3690) 0.9380 (0.7290) 0.9480 (0.7220)
(0.4,0.4,1,0.3,0.3) 0.9600 (0.3710) 0.9380 (0.7290) 0.9480 (0.7220)
(−0.4,−0.4,1,0.1,0.1) 0.9610 (0.3810) 0.9420 (0.7370) 0.9310 (0.7290)
(−0.4,−0.4,1,0.3,0.3) 0.9400 (0.3930) 0.9370 (0.7470) 0.9340 (0.7330)
(0.5,0.5,1,0.1,0.1) 0.9670 (0.3960) 0.9430 (0.7420) 0.9240 (0.7340)
(−0.5,−0.5,1,0.1,0.1) 0.9670 (0.3950) 0.9150 (0.7170) 0.9230 (0.7330)
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