研究文章
基于GARCH-MIDAS股市波动影响因素的分析模型
表3
多因素GARCH-MIDAS模型的估计结果(K= 12)。
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里夫 |
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| GARCH-MIDAS |
0.070 |
0.909 |
−0.017 |
0.342 |
0.142 |
1.858 |
4.433 |
−5902.481 |
| (rAVGRV + MCI) |
(≤0.001) |
(≤0.001) |
(0.998) |
(≤0.001) |
(0.971) |
(≤0.001) |
(0.917) |
| GARCH-MIDAS |
0.069 |
0.898 |
−0.585 |
0.325 |
7.403 |
2.017 |
1.001 |
−5894.395 |
| (rAVGRV + IVA) |
(0.002) |
(≤0.001) |
(0.083) |
(0.001) |
(0.006) |
(0.001) |
(0.920) |
| GARCH-MIDAS |
0.068 |
0.897 |
6.035 |
0.306 |
−0.972 |
2.292 |
2.037 |
−5896.277 |
| (rAVGRV + M2) |
(≤0.001) |
(≤0.001) |
(0.086) |
(≤0.001) |
(0.093) |
(≤0.001) |
(0.386) |
| GARCH-MIDAS |
0.067 |
0.898 |
7.458 |
0.289 |
−1.207 |
2.182 |
1.608 |
−5895.538 |
| (rAVGRV + DFI) |
(≤0.001) |
(≤0.001) |
(0.032) |
(≤0.001) |
(0.035) |
(≤0.001) |
(0.354) |
| GARCH-MIDAS |
0.067 |
0.906 |
1.872 |
0.332 |
−0.724 |
1.941 |
38.808 |
−5894.433 |
| (rAVGRV + CEPU) |
(≤0.001) |
(≤0.001) |
(0.001) |
(≤0.001) |
(0.003) |
(≤0.001) |
(0.248) |
| GARCH-MIDAS |
0.069 |
0.909 |
0.282 |
0.341 |
0.084 |
1.891 |
4.151 |
−5902.443 |
| (rAVGRV + EMV) |
(≤0.001) |
(≤0.001) |
(0.528) |
(≤0.001) |
(0.748) |
(≤0.001) |
(0.763) |
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注:里夫表示最大似然函数值。带括号的数字 值的估计。
,
,和 表示拒绝在1%,5%,和10%的显著性水平,分别。
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