High-Frequency Trading and Its Impact on Exogenous Liquidity Risk of China’s Stock Index Futures Market before and after Trading Restrictions

Table 5

The fitting results of the GARCH(1,1) model in the active stage of HFT.

Mean equation AR(3)
Variable	Coefficient	Std. error	t-statistic	Prob
Const	−3.4198e−07	1.094e−05	−3.127e−02	0.975
AR(1)	0.0262	4.203e−03	6.228	1.794e−02
AR(2)	1.3168e−03	4.479e−03	0.294	−7.461e−03
AR(3)	−1.4527e−03	4.581e−03	−0.317	−1.043e−02
Volatility equation GARCH(1,1)
Omega	4.4823e−08	3.940e−12	3.956	4.482e−08
Alpha(1)	0.0500	9.623e−03	5.196	3.114e−02
Beta(1)	0.7800	4.204e−02	18.554	0.698