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

Table 2

Estimation results of single-factor GARCH-MIDAS (K = 12).

	α	β	γ	m	θ		MSE	QLIKE
GARCH-MIDAS	0.0457	0.951	0.006	2.031	0.434	1.328	42.217	1.632
(RV)	(≤0.001)	(≤0.001)	(0.606)	(≤0.001)	(0.049)	(0.002)
GARCH-MIDAS	0.045	0.951	0.005	2.013	0.456	1.558	41.659	1.601
(rAVGRV)	(≤0.001)	(≤0.001)	0.642	(≤0.001)	(0.084)	(0.005)
GARCH-MIDAS	0.065	0.933	0.003	2.061	−16.070	7.553	42.197	1.628
(MCI)	(0.128)	(0.966)	(0.966)	(0.341)	(0.944)	(0.973)
GARCH-MIDAS	0.062	0.933	0.008	2.147	9.062	4.965	42.087	1.628
(IVA)	(≤0.001)	(≤0.001)	(0.655)	(≤0.001)	(≤0.001)	(≤0.001)
GARCH-MIDAS	0.064	0.933	0.005	2.152	1.296	2.312	42.189	1.629
(M2)	(0.024)	(≤0.001)	(0.782)	(0.001)	(0.095)	(0.997)
GARCH-MIDAS	0.063	0.933	0.005	2.095	−1.598	1.928	42.190	1.629
(DFI)	(≤0.001)	(≤0.001)	(0.766)	(≤0.001)	(≤0.001)	(≤0.001)
GARCH-MIDAS	0.060	0.935	0.007	2.096	−3.480	2.359	42.206	1.626
(CEPU)	(≤0.001)	(≤0.001)	(0.667)	(≤0.001)	(0.019)	(≤0.001)
GARCH-MIDAS	0.064	0.933	0.005	2.081	0.438	2.801	42.235	1.629
(EMV)	(≤0.001)	(≤0.001)	(0.766)	(≤0.001)	(0.448)	(≤0.001)

Notes: the bracketed numbers are the value of the estimations. , , and indicate rejection at the 1%, 5%, and 10% significance level, respectively.