Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 6

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

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜌0	0.012; [0.099]	−0.990***; [0.004]	−0.028; [0.144]	0.026; [0.105]	0.002**; [0.001]	0.018; [0.097]	−0.072; [0.117]	0.297*; [0.155]	−0.086; [0.092]	−0.012; [0.105]
𝜌1	−0.775***; [0.157]	0.010***; [0.002]	−0.896***; [0.101]	−0.791***; [0.117]	0.983***; [0.005]	−0.687 (0.2); [0.540]	−0.773***; [0.216]	−0.983***; [0.017]	−0.739**; [0.327]	−0.984***; [0.009]
𝜌2	−2.807***; [0.737]	27.024***; [0.246]	−1.448**; [0.662]	−3.771***; [0.896]	0.049***; [0.014]	−0.999*; [0.586]	−2.595***; [0.882]	−0.499 (0.2); [0.390]	−2.089**; [1.001]	−0.738*; [0.420]
Likelihood	−3557.889	2334.177	−4064.561	−3515.359	−4413.490	−4071.417	−3282.155	−4671.547	−3142.182	−4116.618

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