Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 12

Results of TVRAS-GARCH-M model (𝑃_𝑡³⁰).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜆11	−4.933***; [1.427]	19.093***; [0.079]	0.709 (0.4); [0.855]	−3.365**; [1.710]	0.053**; [0.027]	0.670; [1.068]	−2.840*; [1.638]	0.178 (0.7); [0.529]	−2.637 (0.12); [1.738]	−1.123 (0.12); [0.734]
𝜆12	−1.131 (0.2); [0.920]	17.579***; [0.012]	−1.639 (0.16); [1.190]	−4.008***; [1.095]	0.043*; [0.026]	−2.747***; [0.842]	−2.424**; [1.117]	−0.852*; [0.527]	−1.728 (0.17); [1.281]	−0.633 (0.2); [0.496]
Likelihood	−3556.580	2302.776	−4063.584	−3515.318	−4413.475	−4069.571	−3282.142	−4670.078	−3142.121	−4116.474

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