Research Article
Investors’ Risk Preference Characteristics and Conditional Skewness
Table 3
Results of D-GARCH-M model.
| | | | Normal distribution | -distribution | GED | | | | Constant | Without constant | Constant | Without constant | Constant | Without constant |
| | NYSE | | −0.038393 | | 0.008346 | | 0.021781 | | | 0.689094*** | 0.639234*** | 0.629536*** | 0.618599*** | 0.637152*** | 0.608542*** | | −0.667031*** | −0.714825*** | −0.669701*** | −0.680167*** | −0.665477*** | −0.692387*** | | AIC | 2.578955 | 2.578516 | 2.563960 | 2.563190 | 2.571334 | 2.570661 |
| | NASDAQ | | −0.083979 | | −0.59438 | | −0.069886 | | | 0.761855*** | 0.671971*** | 0.713134*** | 0.648370*** | 0.719136*** | 0.643084*** | | −0.656260*** | −0.743539*** | −0.672824*** | −0.734481*** | −0.667568*** | −0.740284*** | | AIC | 2.905940 | 2.906025 | 2.894664 | 2.894338 | 2.900909 | 2.900734 |
| | N225 | | −0.128758* | | −0.127370* | | −0.129314* | | | 0.769024*** | 0.639665*** | 0.760342*** | 0.631949*** | 0.764080*** | 0.633820*** | | −0.579077*** | −0.700770*** | −0.573025*** | −0.694062*** | −0.575038*** | −0.697642*** | | AIC | 3.030091 | 3.030745 | 3.020720 | 3.021395 | 3.029477 | 3.030141 |
| | FTSE | | −0.036205 | | −0.025418 | | −0.029088 | | | 0.672258*** | 0.624375*** | 0.639992*** | 0.606147*** | 0.642422*** | 0.603905*** | | −0.036205*** | −0.686354*** | −0.647363*** | −0.680199*** | −0.646163*** | −0.684122*** | | AIC | 2.535505 | 2.535118 | 2.523064 | 2.522467 | 2.6527613 | 2.6780 |
| | HSI | | 0.071615 | | −0.057214 | | −0.068152 | | | 0.738129*** | 0.663713*** | 0.692509*** | 0.632520*** | 0.705923*** | 0.634662*** | | −0.611526*** | −0.683320*** | −0.614341*** | −0.671822*** | −0.160468*** | −0.673603*** | | AIC | 2.961839 | 2.961680 | 2.951365 | 2.950980 | 2.957949 | 2.957735 |
| | SSE | | −0.040201 | | −0.006969 | | −0.015246 | | | 0.632968*** | 0.666238*** | 0.621059*** | 0.615283*** | 0.619336*** | 0.606918*** | | −0.715863*** | −0.681480*** | −0.618523*** | −0.624575*** | −0.617729*** | −0.631036*** | | AIC | 3.317214 | 3.316491 | 3.3426 | 3.271030 | 3.3292189 | 3.3291379 |
| | TSX | | −0.042412 | | −0.025820 | | −0.036245 | | | 0.718077*** | 0.657454*** | 0.677270*** | 0.640163*** | 0.693740*** | 0.642103*** | | −0.646619*** | −0.704590*** | −0.653479*** | −0.689181*** | −0.638806*** | −0.688900*** | | AIC | 2.339769 | 2.339344 | 2.323585 | 2.322920 | 2.330002 | 2.329468 |
| | DAX | | −0.135619*** | | −0.105503** | | −0.114966** | | | 0.7784563*** | 0.641027*** | 0.733031*** | 0.618949*** | 0.732600*** | 0.608853*** | | −0.5557847*** | −0.691029*** | −0.590245*** | −0.694475*** | −0.579738*** | −0.692351*** | | AIC | 3.5004474 | 3.006281 | 2.985186 | 2.986135 | 2.996328 | 2.997467 |
| | AORD | | −0.016963 | | −0.005389 | | −0.007738 | | | 0.675956*** | 0.648148*** | 0.640774*** | 0.702049*** | 0.646637*** | 0.633760*** | | −0.678946*** | −0.705025*** | −0.693763*** | −0.631873*** | −0.690301*** | −0.702260*** | | AIC | 2.125961 | 2.3125307 | 2.108469 | 2.107700 | 2.115704 | 2.114948 |
| | BSE | | −0.005080 | | 0.01190 | | 0.020603 | | | 0.678124*** | 0.673224*** | 0.623241*** | 0.643836*** | 0.622088*** | 0.642164*** | | −0.679230*** | −0.683999*** | −0.706848*** | −0.686760*** | −0.724626*** | −0.704932*** | | AIC | 3.098018 | 3.097218 | 3.2052512 | 3.051752 | 3.064760 | 3.063996 |
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Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.
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