Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 5

Results of TVRA-GARCH-M model (𝑃_𝑡¹⁰).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜌0	0.064; [0.084]	0.054; [0.087]	0.0279; [0.136]	0.105; [0.098]	0.002***; [0.009]	0.040; [0.092]	−0.008; [0.037]	0.080; [0.094]	−0.053; [0.089]	0.005; [0.101]
𝜌1	−0.556**; [0.219]	−0.265; [0.625]	−0.889***; [0.089]	−0.736***; [0.124]	0.986***; [0.002]	−0.604 (0.31); [0.597]	0.415 (0.18); [0.313]	0.277 (0.6); [0.579]	−0.786***; [0.201]	−0.984***; [0.009]
𝜌2	−4.623***; [1.051]	−2.211*; [1.238]	−1.939**; [0.894]	−4.914***; [1.197]	0.112***; [0.025]	−1.227 (0.13); [0.822]	−2.155**; [1.086]	−1.139 (0.18); [0.860]	−2.752**; [1.406]	−0.768*; [0.458]
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.