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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)