[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model
Table 7
Estimation results of GARCH-MIDAS-X (K = 12).
X
β
z
m
θ
MSE
QLIKE
GARCH-MIDAS-X (MCI)
RV
0.800
0.081
1.072
−4.976
2.263
52.488
2.02
rAVGRV
0.928
0.024
1.033
−20.493
1.618
46.380
1.913
GARCH-MIDAS-X (IVA)
RV
0.808
0.078
1.076
7.569
9.130
52.435
2.021
rAVGRV
0.926
0.027
1.040
8.172
9.013
46.800
1.931
GARCH-MIDAS-X (DFI)
RV
0.798
0.081
1.071
0.264
1.967
52.363
2.02
rAVGRV
0.925
0.025
1.037
0.825
2.088
46.322
1.913
GARCH-MIDAS-X (CEPU)
RV
0.801
0.08
1.0740
−0.13
8.928
52.361
2.021
rAVGRV
0.930
0.021
1.055
−0.893
5.674
45.488
1.878
GARCH-MIDAS-X (EMV)
RV
0.801
0.08
1.068
0.574
2.025
52.189
2.021
rAVGRV
0.930
0.004
1.462
−0.632
1.001
42.907
1.689
GARCH-MIDAS-X (M2)
RV
0.797
0.082
1.071
1.710
2.287
52.759
2.024
rAVGRV
0.927
0.024
0.950
16.540
18.302
46.004
1.896
Notes: ,, and indicate rejection at the 1%, 5%, and 10% significance level, respectively. X represents RV or rAVGRV. z represents the coefficients corresponding to X term. Other parameters are consistent with Table 2.
