	[1]		[2]
INFDUM-augmented AR-EGARCH (1, 1) model			AR-EGARCH (1, 1) model
	Coefficient	Z-value	Coefficient	Z-value
Mean equation
Constant	0.674	0.000	0.580	0.000
AR (1)	0.449	0.000	0.597	0.000
AR (5)	0.476	0.000	0.110	0.000
AR (11)	0.215	0.000	0.113	0.000
m_1t	0.466	0.060	0.466	0.060
m_3t			0.158	0.000
m_6t	−0.376	0.047	−0.488	0.000
m_7t	−0.916	0.000	−0.875	0.000
m_8t	−1.485	0.000	−1.505	0.000
m_9t	−1.725	0.002	−1.305	0.000
m_10t			−0.759	0.000
Variance equation
Intercept	0.225	0.067	0.345	0.087
β₁	0.118	0.057	0.125	0.033
β₂	0.272	0.003	0.288	0.057
β₃	0.925	0.000	0.928	0.000
β₄	−0.223	0.036
Q (6)	6.066	0.194	5.192	0.268
Q (12)	10.546	0.394	15.547	0.124
Q² (6)	1.268	0.867	2.446	0.647
Q² (12)	3.993	0.957	5.287	0.873