Research Article
Economic Policy Uncertainty and Chinese Stock Market Volatility: A CARR-MIDAS Approach
| | | CARR | CARR-MIDAS | CARR-MIDAS-CEPU | CARR-MIDAS-GEPU |
| | 0.1532 (0.0075) | 0.1739 (0.0024) | 0.1731 (0.0024) | 0.1726 (0.0024) | | 0.8340 (0.0080) | 0.7705 (0.0027) | 0.7677 (0.0028) | 0.7679 (0.0028) | | () | 0.0001 (0.0000) | −2.1709 (0.0060) | −1.8975 (0.0053) | −1.5643 (0.0045) | | | 0.3976 (0.0020) | 0.3456 (0.0024) | 0.3506 (0.0023) | | | 11.1079 (0.0544) | 12.3186 (0.0061) | 11.7892 (0.0721) | | | | −0.1172 (0.0027) | −0.1854 (0.0027) | | | | 1.9172 (0.0122) | 7.3200 (0.0405) | | 5.6010 (0.1266) | 5.6324 (0.0092) | 5.6420 (0.0096) | 5.6443 (0.0087) | | Log-lik | 15970.0035 | 15981.5230 | 15985.0211 | 15985.8600 | | AIC | −31932.0070 | −31951.0460 | −31954.0421 | −31955.7200 |
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Log-lik is the log-likelihood, and AIC is the Akaike information criterion. Numbers in parentheses are standard errors for the model parameters.
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