Investors’ Risk Preference Characteristics Based on Different Reference Point

Table 7

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

Index/parameter	NYSE	NASDAQ	N225	FTSE	SSE	HSI	TSX	BOV	AORD	DAX
𝜌0	0.006; [0.013]	0.012; [0.025]	−0.001; [0.013]	0.105; [0.091]	0.118; [0.124]	0.001; [0.007]	−0.004; [0.009]	0.026; [0.032]	−0.023; [0.072]	0.001; [0.011]
𝜌1	0.777***; [0.101]	0.670***; [0.245]	0.821***; [0.164]	−0.671***; [0.191]	−0.070; [0.963]	0.883***; [0.141]	0.857***; [0.074]	0.757***; [0.178]	−0.489; [0.413]	0.807***; [0.144]
𝜌2	−3.119***; [0.984]	−2.003*; [1.141]	−1.236; [0.797]	−3.418**; [1.504]	−0.962; [0.928]	−0.693; [0.590]	−2.690***; [0.933]	−1.475**; [0.746]	−3.007; [1.842]	−1.605**; [0.811]
Likelihood	−3572.617	−3986.930	−4084.460	−3535.877	−4444.961	−4084.119	−3296.610	−4686.938	−3153.422	−4140.519

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