Research Article

[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model

Table 2

Estimation results of single-factor GARCH-MIDAS (K = 12).

αβγmθMSEQLIKE

GARCH-MIDAS0.04570.9510.0062.0310.4341.32842.2171.632
(RV)(≤0.001)(≤0.001)(0.606)(≤0.001)(0.049)(0.002)
GARCH-MIDAS0.0450.9510.0052.0130.4561.55841.6591.601
(rAVGRV)(≤0.001)(≤0.001)0.642(≤0.001)(0.084)(0.005)
GARCH-MIDAS0.0650.9330.0032.061−16.0707.55342.1971.628
(MCI)(0.128)(0.966)(0.966)(0.341)(0.944)(0.973)
GARCH-MIDAS0.0620.9330.0082.1479.0624.96542.0871.628
(IVA)(≤0.001)(≤0.001)(0.655)(≤0.001)(≤0.001)(≤0.001)
GARCH-MIDAS0.0640.9330.0052.1521.2962.31242.1891.629
(M2)(0.024)(≤0.001)(0.782)(0.001)(0.095)(0.997)
GARCH-MIDAS0.0630.9330.0052.095−1.5981.92842.1901.629
(DFI)(≤0.001)(≤0.001)(0.766)(≤0.001)(≤0.001)(≤0.001)
GARCH-MIDAS0.0600.9350.0072.096−3.4802.35942.2061.626
(CEPU)(≤0.001)(≤0.001)(0.667)(≤0.001)(0.019)(≤0.001)
GARCH-MIDAS0.0640.9330.0052.0810.4382.80142.2351.629
(EMV)(≤0.001)(≤0.001)(0.766)(≤0.001)(0.448)(≤0.001)

Notes: the bracketed numbers are the value of the estimations. , , and indicate rejection at the 1%, 5%, and 10% significance level, respectively.