Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 2

Results of TVRA-GARCH-M model (MAX).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜌0	0.129; [0.123]	−0.055; [0.122]	−0.033; [0.148]	−0.317; [0.125]	0.008**; [0.003]	−0.061; [0.108]	−0.091; [0.097]	0.248; [0.173]	−0.130; [0.115]	−0.070; [0.116]
𝜌1	−0.815***; [0.128]	−0.406; [0.957]	−0.985***; [0.011]	−0.707***; [0.203]	0.979***; [0.008]	−0.501; [0.719]	0.376; [0.603]	−0.979***; [0.021]	−0.696; [0.494]	−0.984***; [0.009]
𝜌2	−2.503***; [0.732]	−1.184; [0.922]	−0.549; [0.409]	−3.251***; [0.884]	0.066***; [0.024]	−1.213*; [0.711]	−1.162; [1.091]	−0.492; [0.401]	−1.572; [1.012]	−0.759*; [0.430]
Likelihood	−3574.632	−3988.067	−4083.697	−3533.477	−4436.532	−4083.826	−3298.369	−4688.108	−3153.892	−4137.287

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