Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 10

Results of TVRAS-GARCH-M model (𝑃⁵_𝑡).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜆11	−2.591**; [1.157]	−3.778**; [1.721]	−0.895; [0.937]	−0.115; [0.308]	0.240***; [0.085]	−0.409; [0.567]	−2.992***; [1.160]	−1.690*; [0.974]	−1.203; [0.963]	−2.486**; [1.070]
𝜆12	−0.734; [0.786]	−0.453; [1.447]	−0.601; [0.681]	−0.222; [0.295]	0.195***; [0.072]	−0.396; [0.551]	−0.577; [0.734]	−0.531; [0.671]	−0.072; [0.557]	0.127; [0.709]
Likelihood	−3597.464	−4019.031	−4145.122	−3598.876	−4504.463	−4143.122	−3343.164	−4758.322	−3196.579	−4210.430

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