Table 2: Results of TVRA-GARCH-M model (MAX).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

0.129
−0.055
−0.033
−0.317
0.008** 
−0.061
−0.091
0.248
−0.130
−0.070
−0.815*** 
−0.406
−0.985*** 
−0.707*** 
0.979*** 
−0.501
0.376
−0.979*** 
−0.696
−0.984*** 
−2.503*** 
−1.184
−0.549
−3.251*** 
0.066*** 
−1.213* 
−1.162
−0.492
−1.572
−0.759* 
Likelihood−3574.632−3988.067−4083.697−3533.477−4436.532−4083.826−3298.369−4688.108−3153.892−4137.287

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