Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 4

Results of TVRA-GARCH-M model (𝑃⁵_𝑡).

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜌0	0.008; [0.018]	0.060; [0.082]	−0.001; [0.020]	0.075; [0.106]	0.271***; [0.001]	0.003; [0.010]	−0.004; [0.016]	0.051; [0.051]	−0.007; [0.013]	0.001; [0.018]
𝜌1	0.668***; [0.159]	−0.173; [0.597]	0.728**; [0.257]	0.898**; [0.406]	−1.003***; [0.001]	0.833***; [0.191]	0.742***; [0.116]	0.577**; [0.257]	0.761***; [0.285]	0.674***; [0.217]
𝜌2	−1.735***; [0.663]	−2.270*; [1.344]	−0.698; [0.518]	−0.164; [0.148]	0.229***; [0.001]	−0.401; [0.345]	−1.800***; [0.631]	−1.137**; [0.571]	−0.708; [0.674]	−1.062**; [0.563]
Likelihood	−3598.082	−4019.787	−4145.145	−3598.893	−4518.374	−4143.122	−3344.253	−4758.705	−3197.032	−4211.978

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