Investors’ Risk Preference Characteristics and Conditional Skewness

Table 5

Results of GARCHC-M model.

	NYSE	NASDAQ	N225	FTSE	HSI
𝛼0	0.084414***	0.191481***	0.164810***	0.120755***	0.187113***
𝛼1	0.003259***	0.004080***	0.001314***	0.005550***	0.001797**
𝛼2	0.664648***	0.274933	0.359251***	0.455811***	0.359104***
𝜆0	0.249544	−0.960250***	−5.658753***	−1.849845***	1.416945***
𝜆1	−0.546778***	−0.550612***	−0.555833***	−0.547329***	−0.559414***
𝜆2	0.437737***	0.435880***	0.431086***	0.447240***	0.429331***
𝜆3	2.205582***	2.141485***	2.135520***	2.366444***	1.994762***
𝜆4	−2.261350***	−2.207073***	−2.220519***	0.543125***	−2.056662***
	SSE	TSX	DAX	AORD	BSE
𝛼0	0.221803***	0.035956***	0.159329	0.086445***	0.062277
𝛼1	0.003672***	−0.002633***	0.003555	0.006877***	0.001711
𝛼2	0.334297**	0.977622***	0.553324**	0.395960***	0.978317
𝜆0	3.271172***	−0.946364***	−1.498679***	−3.876728***	−1.142603***
𝜆1	−0.555094***	−0.552272***	−0.554922***	−0.553163***	−0.564773***
𝜆2	0.434658***	0.451861***	0.426420***	0.425256***	0.410996***
𝜆3	1.872646***	0.871728***	1.808479***	2.900512***	0.627976***
𝜆4	−1.956778***	−0.891631***	−1.889709***	−2.950840***	−0.643418***

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