研究文章
基于GARCH-MIDAS股市波动影响因素的分析模型
表8
多因素GARCH-MIDAS模型的估计结果基于沪深300指数(K= 12)。
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里夫 |
|
| GARCH-MIDAS |
0.065 |
0.914 |
0.016 |
−0.700 |
0.302 |
0.562 |
1.827 |
1.003 |
−6201.200 |
| (rAVGRV + MCI) |
(≤0.001) |
(≤0.001) |
(0.321) |
(0.650) |
(0.001) |
(0.393) |
(≤0.001) |
(0.782) |
| GARCH-MIDAS |
0.064 |
0.911 |
0.015 |
−0.321 |
0.276 |
7.175 |
1.838 |
6.663 |
−6193.656 |
| (rAVGRV + IVA) |
(0.001) |
(≤0.001) |
(0.360) |
(0.251) |
(≤0.001) |
(0.004) |
(0.001) |
(0.037) |
| GARCH-MIDAS |
0.061 |
0.909 |
0.018 |
9.231 |
0.217 |
−1.461 |
2.059 |
2.576 |
−6194.839 |
| (rAVGRV + M2) |
(≤0.001) |
(≤0.001) |
(0.265) |
(0.026) |
(0.014) |
(0.030) |
(0.002) |
(0.665) |
| GARCH-MIDAS |
0.061 |
0.908 |
0.018 |
8.742 |
0.228 |
−1.382 |
2.096 |
4.214 |
−6194.75 |
| (rAVGRV + DFI) |
(≤0.001) |
(≤0.001) |
(0.261) |
(0.031) |
(0.008) |
(0.036) |
(0.001) |
(0.481) |
| GARCH-MIDAS |
0.061 |
0.915 |
0.017 |
2.200 |
0.277 |
−0.780 |
1.868 |
56.843 |
−6191.956 |
| (rAVGRV + CEPU) |
(≤0.001) |
(≤0.001) |
(0.006) |
(≤0.001) |
(≤0.001) |
(0.001) |
(≤0.001) |
(0.002) |
| GARCH-MIDAS |
0.064 |
0.917 |
0.015 |
0.534 |
0.282 |
0.073 |
1.710 |
3.458 |
−6201.44 |
| (rAVGRV + EMV) |
(0.001) |
(≤0.001) |
(0.389) |
(0.484) |
(0.003) |
(0.803) |
(0.048) |
(0.684) |
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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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