Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 11

Results of TVRAS-GARCH-M model (𝑃_𝑡¹⁰).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜆11	−5.448***; [1.795]	−1.709; [1.700]	−2.752**; [1.120]	−7.127***; [1.881]	2.640***; [1.036]	−1.553 (0.2); [1.338]	−3.250**; [1.627]	−0.521 (0.3); [0.615]	−3.549*; [2.081]	−0.848 (0.2); [0.698]
𝜆12	−3.549***; [1.268]	−2.769**; [1.417]	−0.866 (0.3); [0.855]	−2.390*; [1.436]	−2.309***; [0.923]	−0.639 (0.5); [0.997]	−0.844 (0.2); [0.781]	−0.843 (0.14); [0.572]	−2.075 (0.18); [1.567]	−0.770*; [0.465]
Likelihood	−3586.786	−4008.609	−4100.709	−3549.149	−4458.122	−4102.049	−3308.176	−4708.183	−3165.194	−4162.036

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