Investors’ Risk Preference Characteristics and Conditional Skewness

Table 4

Results of DR-GARCH-M model.

	𝛼0	𝛼1	𝛼2	𝛾1	𝛾2
NYSE	0.004863***	0.000835***	0.995358***	0.176024***	−0.183713***
NASDAQ	0.008353***	0.001850***	0.991113***	0.182455***	−0.169589***
N225	0.007001***	0.000195***	0.994703***	0.197345***	−0.164486***
FTSE	0.008434***	0.002253***	0.989768***	0.206437***	−0206568***
HSI	0.008146***	0.000240***	0.995920***	0.112691***	−0.147049***
SSE	0.069721***	0.008750***	0.947175***	0.124421***	−0.138171***
TSX	0.008868***	0.001049***	0.988730***	0.264073***	−0.232588***
DAX	0.010541***	0.011792***	0.979174***	0.099482***	−0.106390***
AORD	0.004831***	0.001204***	0.992250***	0.295013***	−0.282309***
BSE	0.064522***	0.001574***	0.961596***	0.141245***	−0.135208***

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