Research Article
Investors’ Risk Preference Characteristics and Conditional Skewness
Table 8
Results of DR-GARCH-M model for both subsamples.
| | Subsample one | Subsample two | | | | | |
| NYSE | 1.001558*** | −1.029353*** | 0.522485*** | −0.570659*** | NASDAQ | 0.710845*** | −0.725153*** | 0.551125*** | −0.538697*** | N225 | 0.736881*** | −0.800961*** | 0.504701*** | −0.643300*** | FTSE | 0.867442*** | −0.913827*** | 0.579689*** | −0.670907*** | HSI | 0.859986*** | −1.0314767*** | 0.411237*** | −0.529651*** | SSE | 0.647975*** | −0.759942*** | 0.433204*** | −0.529604*** | TSX | 1.204687*** | −1.224402*** | 0.580805*** | −0.678481*** | DAX | 0.539064*** | −0.569934*** | 0.516428*** | −0.579919*** | AORD | 1.447118*** | −1.597704*** | 0.675407*** | −0.746404*** | BSE | 0.678387*** | −0.805845*** | 0.460132*** | −0.510001*** |
|
|
Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.
|