[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model

Table 1

Descriptive statistics.

			MCI	IVA	M2	DFI	CEPU	EMV
Frequency	Monthly	Monthly	Monthly	Monthly	Monthly	Monthly	Monthly	Monthly
Mean	2.294	1.999	1.992	0.101	5.974	5.975	2.284	−0.294
Std	0.217	0.074	0.018	0.046	0.257	0.255	0.369	0.491
Skewness	2.582	2.043	−0.935	0.532	−0.384	−0.355	0.194	2.259
Kurtosis	11.113	6.930	4.310	2.185	1.894	1.887	2.210	8.708
JB stat	693.668	241.078	39.153	13.477	13.593	13.085	5.810	397.347
Q (5)	232.73	226.1	517.89	627.17	814.5	814.36	556.5	398.03
Q (10)	322.64	324.34	623.98	1045.6	1493	1494.6	917.41	486.07

Notes: the Jarque-Bera statistic test for the null hypothesis of normality in sample returns distribution. Q (n) is the Ljung-Box statistics of the return series for up to nth order serial correlation. , , and indicate rejection at the 1%, 5%, and 10% significance level, respectively.