Research Article
[Retracted] Relationship between Investor Sentiment and Price Fluctuation of SSE 50ETF Options
Table 7
Parameter estimation results of the VAR model for 50ETF C. Dec. 3.00 contract.
| | | ET | PT |
| | ET (−1) | 0.805858 | −5.01E−08 | | (0.07852) | (4.4E−08) | | [10.2637] | [2.14268] |
| | ET (−2) | 0.138850 | 3.01E−08 | | (0.07870) | (4.4E−08) | | [1.76422] | [2.68503] |
| | PT (−1) | −234871.1 | 1.040818 | | (143009.) | (0.07984) | | [−1.64235] | [13.0365] |
| | PT (−2) | 194412.9 | −0.107629 | | (140484.) | (0.07843) | | [2.38388] | [−1.97230] |
| | C | 6932.773 | 0.007036 | | (6760.52) | (0.00377) | | [2.02548] | [1.86427] |
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