Table 6: Results of TVRA-GARCH-M model ( ).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

0.012
−0.990*** 
−0.028
0.026
0.002** 
0.018
−0.072
0.297* 
−0.086
−0.012
−0.775*** 
0.010*** 
−0.896*** 
−0.791*** 
0.983*** 
−0.687 (0.2)
−0.773*** 
−0.983*** 
−0.739** 
−0.984*** 
−2.807*** 
27.024*** 
−1.448** 
−3.771*** 
0.049*** 
−0.999* 
−2.595*** 
−0.499 (0.2)
−2.089** 
−0.738* 
Likelihood−3557.8892334.177−4064.561−3515.359−4413.490−4071.417−3282.155−4671.547−3142.182−4116.618

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