Table 8: Results of TVRAS-GARCH-M model (MAX).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

−57.180*** 
−32.726*** 
−26.952*** 
−55.843*** 
1.239** 
−20.389*** 
−39.102*** 
−19.859*** 
−43.328*** 
−37.310*** 
−0.990** 
−0.410
−0.343
−1.892*** 
0.030* 
−0.397
−1.091*** 
−0.065
−0.391
−0.705** 
Likelihood−3541.543−3970.803−4074.049−3503.489−4433.837−4077.932−3280.496−4675.261−3132.791−4111.405

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