The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

Table 7

Summary of some MS-VAR models.

Model	LR	AIC	HQ	SC
VAR (2)	555.56	−8.525	−8.276	−7.911
VAR (4)	570.457	−8.614	−8.194	−7.580
MSIH (2)-VAR (2)	655.787	−9.964^#	−9.613^#	−9.100^#
MSIH (2)-VAR (3)	653.674	−9.865	−9.428	−8.790
MSM (2)-VAR (4)	573.341	−8.579	−8.113	−7.430
MSI (2)-VAR (4)	580.917	−8.704	−8.237	−7.554
MSIH (2)-VAR (4)	657.112^#	−9.854	−9.332	−8.567
MSMH (2)-VAR (4)	638.898	−9.556	−9.033	−8.269
MSH (2)-VAR (4)	648.137	−9.756	−9.262	−8.538

Note. LR represents the maximum likelihood ratio. “^#” represents the optimal choice under each rule.