Table 9: Results of TVRAS-GARCH-M model (MIN).

Index/parameterNYSENASDAQN225FTSESSEHSITSXBOVAORDDAX

−1.422*** 
[0.555]
−0.766
[0.635]
−0.048
[0.129]
−2.029*** 
[0.752]
0.763** 
[0.332]
−0.166
[0.224]
−1.047** 
[0.467]
−0.445
[0.532]
−1.446
[1.024]
−1.386** 
[0.720]
−27.106*** 
[2.665]
−27.806*** 
[2.701]
−4.567** 
[2.166]
−38.036*** 
[2.974]
−21.988*** 
[2.514]
−11.127*** 
[2.495]
−33.931*** 
[3.541]
−19.841*** 
[2.195]
−27.990*** 
[3.758]
−13.520*** 
[2.749]
Likelihood−3563.113−3972.361−4084.628−3514.580−4436.957−4082.474−3287.054−4676.344−3141.543−4136.597

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