Table 2: The MLE estimates without (with) considering co-skewness and co-kurtosis.

VariablesParametersWOSKWSK
CoefficientsS.Et-valueCoefficientsS.Et-value

Constant 0.0496@0.21370.230.3118@1.00270.31
Market return 0.5118*0.037113.780.5272*0.12214.31
Market capitalization −0.0052@0.0110−0.47−0.0135@0.0184−0.73
Book to market ratio −0.0724*0.0178−4.06−0.0806*0.0203−3.97
Market value 0.0132@0.00841.560.0129@0.00881.45
Co-skewness 0−0.0719**0.0730−1.98
Co-kurtosis 00.0464***0.06871.67
Sigma-squared 0.2027*0.011018.410.2027*0.011218.05
Gamma 0.0185@0.01491.230.0095@0.00921.02
Mu 0.1225*0.03853.170.0878*0.02942.98
Eta −0.2157*0.0435−4.95−0.1639*0.0135−12.08

Significance level at 1%, 5%, and 10% consecutively, @means insignificant, S.E: standard error.