Research Article
Investors’ Risk Preference Characteristics and Conditional Skewness
Table 2
Estimation of GARCH-M model.
| Index | | Normal distribution | -distribution | GED | | Constant | Without constant | Constant | Without constant | Constant | Without constant |
| NYSE | | 0.037285 | | 0.056926 | | 0.053053 | | | 0.020119 | 0.058766*** | 0.018008 | 0.077375*** | 0.028549 | 0.084370*** | AIC | 2.962919 | 2.962369 | 2.938076 | 2.937919 | 2.932556 | 2.932365 |
| NASDAQ | | 0.016146 | | 0.072376 | | 0.084165 | | | 0.046555 | 0.060165*** | 0.007275 | 0.068447*** | 0.002899 | 0.073577*** | AIC | 3.319350 | 3.318580 | 3.306540 | 3.306225 | 3.303382 | 3.303241 |
| N225 | | 0.076892 | | 0.073078 | | 0.064316 | | | −0.017186 | 0.043225* | −0.008435 | 0.048990** | −0.003133 | 0.047402** | AIC | 3.423548 | 3.423122 | 3.414239 | 3.413779 | 3.413865 | 3.413332 |
| FTSE | | −0.014292 | | 0.005377 | | 0.006610 | | | 0.073075 | 0.057784*** | 0.057634 | 0.063381*** | 0.054986 | 0.062014*** | AIC | 2.906469 | 2.905726 | 2.897869 | 2.897088 | 2.897558 | 2.896780 |
| HSI | | 0.022283 | | 0.047106 | | 0.029604 | | | 0.036816 | 0.055336** | 0.017404 | 0.056604*** | 0.031699 | 0.056770*** | AIC | 3.348514 | 3.347746 | 3.333033 | 3.332403 | 3.324469 | 3.323757 |
| SSE | | −0.135642 | | −0.215324** | | −0.027019** | | | 0.106098 | 0.014673 | 0.166742** | 0.023714 | 0.188891*** | 0.034810** | AIC | 3.704455 | 3.7043427 | 3.649145 | 3.650241 | 3.641250 | 3.642729 |
| TSX | | 0.057309 | | 0.059409 | | 0.041188 | | | 0.000389 | 0.065233** | 0.017977 | 0.085432*** | 0.037378 | 0.084175*** | AIC | 2.731783 | 2.731448 | 2.718224 | 2.717943 | 2.717611 | 2.717059 |
| DAX | | 0.051921 | | 0.097155* | | 0.102690* | | | 0.028379 | 0.071643*** | −0.006136 | 0.075022*** | −0.008491 | 0.077571*** | AIC | 3.385518 | 3.385027 | 3.369126 | 3.369411 | 3.364090 | 3.364545 |
| AORD | | 0.054596 | | 0.062207* | | 0.064180* | | | 0.004603 | 0.074526*** | 0.001614 | 0.081537*** | −0.002353 | 0.080462*** | AIC | 2.515191 | 2.515343 | 2.503685 | 2.504171 | 2.505476 | 2.506050 |
| BSE | | 0.100193 | | 0.118117 | | 0.121229 | | | 0.015818 | 0.091436*** | 0.016732 | 0.105678*** | 0.012551 | 0.103813*** | AIC | 3.493576 | 3.493396 | 3.467548 | 3.467595 | 3.475211 | 3.475306 |
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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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