Table 4: Results of TVRA-GARCH-M model ( ).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

0.008
0.060
−0.001
0.075
0.271*** 
0.003
−0.004
0.051
−0.007
0.001
0.668*** 
−0.173
0.728** 
0.898** 
−1.003*** 
0.833*** 
0.742*** 
0.577** 
0.761*** 
0.674*** 
−1.735*** 
−2.270* 
−0.698
−0.164
0.229*** 
−0.401
−1.800*** 
−1.137** 
−0.708
−1.062** 
Likelihood−3598.082−4019.787−4145.145−3598.893−4518.374−4143.122−3344.253−4758.705−3197.032−4211.978

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