An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market

Table 2

AR(2)-GARCH(1,1) parameter values estimated for the return series of IF1009 and simulated futures.

Series	𝑎	𝑏	𝑐	𝛼	𝛽
IF1009	−0.047506; (0.004510)*	−0.021214; (0.004602)*	1.41𝐸−09; (3.40𝐸−11)*	0.154731; (0.002074)*	0.816699; (0.002024)*
Simulated future	−0.525263; (0.004278)*	−0.234303; (0.004271)*	1.37𝐸−09; (7.66𝐸−11)*	0.082618; (0.002283)*	0.900256; (0.002667)*

∗Significance at 5% level.