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

Table 6

The fitting results of the GARCH (1,1) model during the HFT restricted period.

Mean equation AR(3)
Variable	Coefficient	Std. error	t-statistic	Prob
Const	2.5018e−05	7.060e−06	3.5440	3.943e−04
AR(1)	−0.0338	6.850e−03	−4.940	−4.726e−02
AR(2)	0.0328	6.966e−03	4.712	1.917e−02
AR(3)	7.2765e−03	7.090e−03	1.026	−6.620e−03
Volatility equation GARCH(1,1)
Omega	2.5232e−08	3.641e−12	6930.443	2.522e−08
Alpha(1)	0.0125	5.688e−03	2.197	1.351e−03
Beta(1)	0.9300	3.293e−03	282.391	0.924