Research Article
Modeling and Prediction of the Volatility of the Freight Rate in the Roadway Freight Market of China
Table 3
SST-EGARCH estimates of the volatility series.
| | | SST-EGARCH (1, 1) | SST-EGARCH (2, 2) | | R_GTQ | R_QTG | R_QTC | R_KTC | R_KTG | R_GTK | R_GTC | R_CTG | R_KTQ | R_CTQ | R_CTK | R_QTK |
| | 1.990 | 3.784 | 0.478 | 0.247 | 0.837 | 0.441 | | 1.318 | 3.443 | −0.111 | −0.249 | 3.260 | | Prob. | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.027) | (0.000) | (0.000) | (0.000) | (0.000) | (0.050) | (0.000) | | −1.540 | 1.623 | 0.606 | 0.051 | −0.141 | 0.369 | 0.136 | 0.027 | 0.381 | −0.578 | 0.299 | 0.670 | | Prob. | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.019) | (0.000) | (0.000) | (0.000) | (0.000) | (0.011) | (0.000) | | — | — | — | — | −0.540 | 0.748 | 0.388 | −0.271 | 0.397 | −0.518 | 0.254 | −0.130 | | Prob. | — | — | — | — | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | | 0.533 | 0.281 | 0.640 | 0.859 | −0.613 | 0.522 | −0.226 | 0.121 | −0.056 | −0.170 | −0.088 | −0.215 | | Prob. | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.014) | (0.000) | (0.000) | (0.000) | (0.000) | (0.040) | (0.000) | | — | — | — | — | 0.023 | −0.271 | 0.622 | 0.323 | −0.144 | 0.756 | −0.838 | 0.381 | | Prob. | — | — | — | — | (0.000) | (0.033) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | | −0.706 | −1.677 | −0.694 | −0.081 | 0.253 | −0.507 | 0.301 | −0.122 | −0.350 | −0.870 | −0.157 | −1.026 | | Prob. | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.013) | (0.000) | (0.000) | (0.000) | (0.000) | (0.033) | (0.000) | | — | — | — | — | −0.631 | −0.633 | −0.666 | −0.198 | −0.613 | 0.633 | −0.474 | 0.042 | | Prob. | — | — | — | — | (0.000) | (0.003) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | | 30.000 | 4.047 | 6.866 | 30.000 | 30.000 | 2.543 | 1.842 | 30.000 | 30.000 | 30.000 | 3.227 | 10.097 | | Prob. | (0.031) | (0.000) | (0.010) | (0.035) | (0.026) | (0.000) | (0.000) | (0.000) | (0.015) | (0.000) | (0.000) | (0.000) | | 2.023 | 2.084 | 2.485 | 2.400 | 3.043 | 2.650 | 3.029 | 2.191 | 2.195 | 6.550 | 3.503 | 2.027 | | Prob. | (0.031) | (0.000) | (0.010) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | | ARCH-LM (3) | 0.104 | 0.091 | 0.179 | 0.010 | 0.510 | 0.029 | 0.291 | 0.141 | 3.60E − 04 | 0.676 | 0.482 | 0.052 | | ARCH-LM (5) | 0.324 | 0.195 | 0.484 | 0.085 | 1.619 | 0.301 | 0.789 | 0.415 | 0.522 | 13.804 | 1.337 | 0.133 | | ARCH-LM (7) | 1.826 | 0.293 | 0.723 | 0.194 | 2.114 | 0.624 | 1.053 | 0.570 | 0.780 | 14.906 | 2.400 | 0.180 |
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-values are reported in the parentheses; significance at (5%); significance at (10%). |
