Research Article
[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model
Table 6
Investment performance of different models based on rAVGRV.
| | GARCH-MIDAS (rAVGRV) | GARCH-MIDAS (rAVGRV + MCI) | GARCH-MIDAS (rAVGRV + IVA) | GARCH-MIDAS (rAVGRV + M2) | GARCH-MIDAS (rAVGRV + DFI) | GARCH-MIDAS (rAVGRV + CEPU) |
| | 5 | 1.789 | 1.880 | 1.822 | 1.900 | 1.873 | 1.815 | | 10 | 1.585 | 1.662 | 1.718 | 1.826 | 1.800 | 1.770 | | 15 | 1.330 | 1.465 | 1.604 | 1.684 | 1.612 | 1.592 | | 20 | 1.112 | 1.340 | 1.482 | 1.526 | 1.493 | 1.391 |
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