[Retracted] Analysis of Factors Influencing Stock Market Volatility Based on GARCH-MIDAS Model
Table 8
Estimation results of multifactor GARCH-MIDAS model based on CSI 300 (K = 12).
LLF
GARCH-MIDAS
0.065
0.914
0.016
−0.700
0.302
0.562
1.827
1.003
−6201.200
(rAVGRV + MCI)
(≤0.001)
(≤0.001)
(0.321)
(0.650)
(0.001)
(0.393)
(≤0.001)
(0.782)
GARCH-MIDAS
0.064
0.911
0.015
−0.321
0.276
7.175
1.838
6.663
−6193.656
(rAVGRV + IVA)
(0.001)
(≤0.001)
(0.360)
(0.251)
(≤0.001)
(0.004)
(0.001)
(0.037)
GARCH-MIDAS
0.061
0.909
0.018
9.231
0.217
−1.461
2.059
2.576
−6194.839
(rAVGRV + M2)
(≤0.001)
(≤0.001)
(0.265)
(0.026)
(0.014)
(0.030)
(0.002)
(0.665)
GARCH-MIDAS
0.061
0.908
0.018
8.742
0.228
−1.382
2.096
4.214
−6194.75
(rAVGRV + DFI)
(≤0.001)
(≤0.001)
(0.261)
(0.031)
(0.008)
(0.036)
(0.001)
(0.481)
GARCH-MIDAS
0.061
0.915
0.017
2.200
0.277
−0.780
1.868
56.843
−6191.956
(rAVGRV + CEPU)
(≤0.001)
(≤0.001)
(0.006)
(≤0.001)
(≤0.001)
(0.001)
(≤0.001)
(0.002)
GARCH-MIDAS
0.064
0.917
0.015
0.534
0.282
0.073
1.710
3.458
−6201.44
(rAVGRV + EMV)
(0.001)
(≤0.001)
(0.389)
(0.484)
(0.003)
(0.803)
(0.048)
(0.684)
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.
