Table 5: Results of TVRA-GARCH-M model ( ).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

0.064
0.054
0.0279
0.105
0.002*** 
0.040
−0.008
0.080
−0.053
0.005
−0.556** 
−0.265
−0.889*** 
−0.736*** 
0.986*** 
−0.604 (0.31)
0.415 (0.18)
0.277 (0.6)
−0.786*** 
−0.984*** 
−4.623*** 
−2.211* 
−1.939** 
−4.914*** 
0.112*** 
−1.227 (0.13)
−2.155** 
−1.139 (0.18)
−2.752** 
−0.768* 
Likelihood−3587.015−4008.689−4102.625−3549.934−4447.889−4102.110−3309.123−4707.524−3165.369−4162.044

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