[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model
Table 3
Estimation results of multifactor GARCH-MIDAS model (K = 12).
LLF
GARCH-MIDAS
0.070
0.909
−0.017
0.342
0.142
1.858
4.433
−5902.481
(rAVGRV + MCI)
(≤0.001)
(≤0.001)
(0.998)
(≤0.001)
(0.971)
(≤0.001)
(0.917)
GARCH-MIDAS
0.069
0.898
−0.585
0.325
7.403
2.017
1.001
−5894.395
(rAVGRV + IVA)
(0.002)
(≤0.001)
(0.083)
(0.001)
(0.006)
(0.001)
(0.920)
GARCH-MIDAS
0.068
0.897
6.035
0.306
−0.972
2.292
2.037
−5896.277
(rAVGRV + M2)
(≤0.001)
(≤0.001)
(0.086)
(≤0.001)
(0.093)
(≤0.001)
(0.386)
GARCH-MIDAS
0.067
0.898
7.458
0.289
−1.207
2.182
1.608
−5895.538
(rAVGRV + DFI)
(≤0.001)
(≤0.001)
(0.032)
(≤0.001)
(0.035)
(≤0.001)
(0.354)
GARCH-MIDAS
0.067
0.906
1.872
0.332
−0.724
1.941
38.808
−5894.433
(rAVGRV + CEPU)
(≤0.001)
(≤0.001)
(0.001)
(≤0.001)
(0.003)
(≤0.001)
(0.248)
GARCH-MIDAS
0.069
0.909
0.282
0.341
0.084
1.891
4.151
−5902.443
(rAVGRV + EMV)
(≤0.001)
(≤0.001)
(0.528)
(≤0.001)
(0.748)
(≤0.001)
(0.763)
Notes: LLF indicates maximum likelihood function value. The bracketed numbers are the value of the estimations. ,, and indicate rejection at the 1%, 5%, and 10% significance level, respectively.
