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