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Table 5 The simulation results for sequence III \((\epsilon , \sigma , k)=(0.5, 1, 3)\)

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) 0.9650 (0.3300) 0.9410 (0.7330) 0.9510 (0.7660)
(0.1,0.1,3,0.3,0.3) 0.9560 (0.3260) 0.9410 (0.7390) 0.9280 (0.7440)
(0.1,0.1,5,0.5,0.5) 0.9720 (0.3320) 0.9310 (0.7280) 0.9310 (0.7140)
(0.1,0.1,7,0.7,0.7) 0.9560 (0.3050) 0.9490 (0.7280) 0.9210 (0.7130)
(−0.1,−0.1,1,0.1,0.1) 0.9610 (0.3020) 0.9260 (0.7240) 0.9350 (0.7530)
(−0.1,−0.1,3,0.3,0.3) 0.9710 (0.3300) 0.9390 (0.7310) 0.9430 (0.7560)
(−0.1,−0.1,5,0.5,0.5) 0.9540 (0.3220) 0.9350 (0.7230) 0.9410 (0.7460)
(−0.1,−0.1,7,0.7,0.7) 0.9690 (0.3390) 0.9360 (0.7070) 0.9330 (0.7200)
(0.2,0.2,1,0.1,0.1) 0.9530 (0.3210) 0.9460 (0.7350) 0.9240 (0.7140)
(0.2,0.2,3,0.3,0.3) 0.9670 (0.3140) 0.9400 (0.7260) 0.9290 (0.7550)
(0.2,0.2,5,0.5,0.5) 0.9670 (0.3610) 0.9390 (0.7420) 0.9510 (0.7660)
(−0.2,−0.2,1,0.1,0.1) 0.9560 (0.3490) 0.9390 (0.7280) 0.9400 (0.7490)
(−0.2,−0.2,3,0.3,0.3) 0.9660 (0.3570) 0.9360 (0.7090) 0.9350 (0.7180)
(−0.2,−0.2,5,0.5,0.5) 0.9550 (0.3290) 0.9380 (0.7300) 0.9190 (0.7180)
(0.3,0.3,1,0.1,0.1) 0.9640 (0.3400) 0.9380 (0.7320) 0.9330 (0.7460)
(0.3,0.3,3,0.3,0.3) 0.9670 (0.3780) 0.9340 (0.7320) 0.9350 (0.7560)
(−0.3,−0.3,1,0.1,0.1) 0.9640 (0.3600) 0.9400 (0.7470) 0.9500 (0.7450)
(−0.3,−0.3,3,0.3,0.3) 0.9700 (0.3710) 0.9380 (0.5650) 0.9280 (0.7440)
(0.4,0.4,1,0.1,0.1) 0.9420 (0.7570) 0.9150 (0.5650) 0.9290 (0.7640)
(0.4,0.4,1,0.3,0.3) 0.9570 (0.3810) 0.9350 (0.7380) 0.9440 (0.7430)
(−0.4,−0.4,1,0.1,0.1) 0.9610 (0.4130) 0.9540 (0.7430) 0.9360 (0.7470)
(−0.4,−0.4,1,0.3,0.3) 0.9600 (0.3850) 0.9400 (0.7440) 0.9400 (0.7690)
(0.5,0.5,1,0.1,0.1) 0.9540 (0.3940) 0.9320 (0.754) 0.9250 (0.7640)
(−0.5,−0.5,1,0.1,0.1) 0.9590 (0.4230) 0.9450 (0.7550) 0.9500 (0.7760)
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