研究文章
基于GARCH-MIDAS股市波动影响因素的分析模型
表2
单因素GARCH-MIDAS估计结果(K= 12)。
|
|
α |
β |
γ |
米 |
θ |
|
均方误差 |
QLIKE |
|
| GARCH-MIDAS |
0.0457 |
0.951 |
0.006 |
2.031 |
0.434 |
1.328 |
42.217 |
1.632 |
| (RV) |
(≤0.001) |
(≤0.001) |
(0.606) |
(≤0.001) |
(0.049) |
(0.002) |
| GARCH-MIDAS |
0.045 |
0.951 |
0.005 |
2.013 |
0.456 |
1.558 |
41.659 |
1.601 |
| (rAVGRV) |
(≤0.001) |
(≤0.001) |
0.642 |
(≤0.001) |
(0.084) |
(0.005) |
| GARCH-MIDAS |
0.065 |
0.933 |
0.003 |
2.061 |
−16.070 |
7.553 |
42.197 |
1.628 |
| (MCI) |
(0.128) |
(0.966) |
(0.966) |
(0.341) |
(0.944) |
(0.973) |
| GARCH-MIDAS |
0.062 |
0.933 |
0.008 |
2.147 |
9.062 |
4.965 |
42.087 |
1.628 |
| (IVA) |
(≤0.001) |
(≤0.001) |
(0.655) |
(≤0.001) |
(≤0.001) |
(≤0.001) |
| GARCH-MIDAS |
0.064 |
0.933 |
0.005 |
2.152 |
1.296 |
2.312 |
42.189 |
1.629 |
| (M2) |
(0.024) |
(≤0.001) |
(0.782) |
(0.001) |
(0.095) |
(0.997) |
| GARCH-MIDAS |
0.063 |
0.933 |
0.005 |
2.095 |
−1.598 |
1.928 |
42.190 |
1.629 |
| (DFI) |
(≤0.001) |
(≤0.001) |
(0.766) |
(≤0.001) |
(≤0.001) |
(≤0.001) |
| GARCH-MIDAS |
0.060 |
0.935 |
0.007 |
2.096 |
−3.480 |
2.359 |
42.206 |
1.626 |
| (CEPU) |
(≤0.001) |
(≤0.001) |
(0.667) |
(≤0.001) |
(0.019) |
(≤0.001) |
| GARCH-MIDAS |
0.064 |
0.933 |
0.005 |
2.081 |
0.438 |
2.801 |
42.235 |
1.629 |
| (EMV) |
(≤0.001) |
(≤0.001) |
(0.766) |
(≤0.001) |
(0.448) |
(≤0.001) |
|
|
注:括号内的数字是 值的估计。
,
,和 表示拒绝在1%,5%,和10%的显著性水平,分别。
|
