spb/wp46_uqo

1\begin{tabular}{llrrrl}2\toprule3Model & R reference & R log-lik. & Ours & Diff. & Note \\4\midrule5GARCH(1,1)-$t$ & rugarch sGARCH & -3379.50 & -3379.46 & 0.041 &  \\6GARCH(1,1)-skew-$t$ & rugarch sGARCH/sstd & -3379.31 & -3379.28 & 0.039 &  \\7GJR(1,1)-$t$ & rugarch gjrGARCH & -3372.99 & -3372.95 & 0.037 &  \\8TGARCH(1,1)-$t$ & rugarch fGARCH/TGARCH & -3378.27 & -3377.91 & 0.357 &  \\9EGARCH(1,1)-$t$ & rugarch eGARCH & -3376.68 & -3376.67 & 0.013 &  \\10APARCH(1,1)-$t$ & rugarch apARCH & -3372.85 & -3372.76 & 0.090 &  \\11FIGARCH(1,$d$,1)-$t$ & rugarch fiGARCH & -3381.98 & -3383.45 & -1.471 &  \\12IGARCH(1,1)-$t$ & rugarch iGARCH & -3385.52 & -3385.47 & 0.050 &  \\13Component GARCH-$t$ & rugarch csGARCH & -3379.76 & -3379.46 & 0.300 &  \\14NAGARCH(1,1)-$t$ & rugarch fGARCH/NAGARCH & -3373.35 & -3373.31 & 0.038 &  \\15Realized GARCH(1,1)-N & rugarch realGARCH & -- & -4989.21 & -- & R fit did not converge \\16GARCH-X(1,1)-N (return eq.) & rugarch sGARCH + vxreg & -3439.50 & -3438.59 & -- & per-observation comparison (R drops one obs.) \\17MS-GARCH(2)-N & MSGARCH FitML & -3379.75 & -3380.15 & -0.397 & 22-step variance forecasts within 7.2\% \\18GAS-$t$(1,1) & GAS (scale parameterization; reference) & -- & -3382.32 & -- & different parameterization, not comparable \\19\bottomrule20\end{tabular}21