Investors’ Risk Preference Characteristics and Conditional Skewness

Table 2

Estimation of GARCH-M model.

Index		Normal distribution		𝑡-distribution		GED
		Constant	Without constant	Constant	Without constant	Constant	Without constant
NYSE	𝑐	0.037285		0.056926		0.053053
	𝛾	0.020119	0.058766***	0.018008	0.077375***	0.028549	0.084370***
	AIC	2.962919	2.962369	2.938076	2.937919	2.932556	2.932365
NASDAQ	𝑐	0.016146		0.072376		0.084165
	𝛾	0.046555	0.060165***	0.007275	0.068447***	0.002899	0.073577***
	AIC	3.319350	3.318580	3.306540	3.306225	3.303382	3.303241
N225	𝑐	0.076892		0.073078		0.064316
	𝛾	−0.017186	0.043225*	−0.008435	0.048990**	−0.003133	0.047402**
	AIC	3.423548	3.423122	3.414239	3.413779	3.413865	3.413332
FTSE	𝑐	−0.014292		0.005377		0.006610
	𝛾	0.073075	0.057784***	0.057634	0.063381***	0.054986	0.062014***
	AIC	2.906469	2.905726	2.897869	2.897088	2.897558	2.896780
HSI	𝑐	0.022283		0.047106		0.029604
	𝛾	0.036816	0.055336**	0.017404	0.056604***	0.031699	0.056770***
	AIC	3.348514	3.347746	3.333033	3.332403	3.324469	3.323757
SSE	𝑐	−0.135642		−0.215324**		−0.027019**
	𝛾	0.106098	0.014673	0.166742**	0.023714	0.188891***	0.034810**
	AIC	3.704455	3.7043427	3.649145	3.650241	3.641250	3.642729
TSX	𝑐	0.057309		0.059409		0.041188
	𝛾	0.000389	0.065233**	0.017977	0.085432***	0.037378	0.084175***
	AIC	2.731783	2.731448	2.718224	2.717943	2.717611	2.717059
DAX	𝑐	0.051921		0.097155*		0.102690*
	𝛾	0.028379	0.071643***	−0.006136	0.075022***	−0.008491	0.077571***
	AIC	3.385518	3.385027	3.369126	3.369411	3.364090	3.364545
AORD	𝑐	0.054596		0.062207*		0.064180*
	𝛾	0.004603	0.074526***	0.001614	0.081537***	−0.002353	0.080462***
	AIC	2.515191	2.515343	2.503685	2.504171	2.505476	2.506050
BSE	𝑐	0.100193		0.118117		0.121229
	𝛾	0.015818	0.091436***	0.016732	0.105678***	0.012551	0.103813***
	AIC	3.493576	3.493396	3.467548	3.467595	3.475211	3.475306

Note: ***, **, and * in all tables denote that the parameter is significant at 1%, 5%, and 10% level, respectively.