Please, I need some assistance. I have estimated sGARCH, EGARCH and TGARCH, while some for particular models are significant. For some the \alpha remain insignificant using various innovations such as the normal, student t distribution their skewed variant. I am tempted to rely on the models that gave significant estimates and then ignoring the ones that does not. For instance of if the EGARCH-std is not significant in terms of alpha and the EGARCH-sstd is significant, I prefer to focuss on the later for further analysis. I would like to know if I am on the right paths Sincerely, Evelyn

I have estimated sGARCH, EGARCH and TGARCH, which some for particular models are significant. For others, the alpha remain insignificant using various innovations such as the skewed variants of the normal or student $t$ distributions.

I am tempted to rely on the models that give significant estimates and then ignore the ones that do not. For instance, if the EGARCH-std is not significant in terms of alpha and the EGARCH-sstd is significant, I prefer to focus on the later for further analysis.

Please let me know if I am on the right path.