Table 13: Results of TVRAS-GARCH-M model (MP).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

−4.051*** 
−5.176*** 
−4.207** 
−3.337** 
−0.672
−3.300** 
−3.888*** 
−1.743
−6.061** 
−4.664*** 
−1.887
1.389
0.761
−2.176* 
1.097* 
1.682
−1.607
1.186
1.772
2.884
Likelihood−3571.901−3984.559−4082.694−3532.935−4442.370−4083.135−3295.887−4687.562−3151.470−4138.233

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