Table 12: Results of TVRAS-GARCH-M model ( ).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

−4.933*** 
19.093*** 
0.709 (0.4)
−3.365** 
0.053** 
0.670
−2.840* 
0.178 (0.7)
−2.637 (0.12)
−1.123 (0.12)
−1.131 (0.2)
17.579*** 
−1.639 (0.16)
−4.008*** 
0.043* 
−2.747*** 
−2.424** 
−0.852* 
−1.728 (0.17)
−0.633 (0.2)
Likelihood−3556.5802302.776−4063.584−3515.318−4413.475−4069.571−3282.142−4670.078−3142.121−4116.474

Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.