Risk Measure and Early-Warning System of China's Stock Market Based on Price-Earnings Ratio and Price-to-Book Ratio

Table 4

Result of unitary GARCH(1, 1) model parameter estimates on student's 𝑡-distribution.

Variable	Coefficient	Std. error	𝑧-Statistic	Prob.
𝛼0	0.000538	0.000253	2.128060	0.0333
Variance equation
𝛼0	2.83𝐸− 07	4.20𝐸− 07	0.674479	0.5000
RESID(−1)^˄2	0.049584	0.013664	3.628747	0.0003
GARCH(−1)	0.949512	0.013671	69.45407	0.0000
T-DIST. DOF	5.181459	0.871401	5.946123	0.0000

Note: GARCH = 𝛼₀ + 𝛼₁  *RESID(−1)^˄2 + 𝛽₁ * GARCH(−1).
“𝐸−7” means “10∗(−7)”.