[Retracted] Quantitative Evaluation Model of Stock Market Liquidity by Macroeconomic Factors

Table 12

Two-factor volatility effect.

Variable	M1 + CPI	ER + M1	ER + CPI
μ	0.0005	0.0007	0.0005
	(1.4101)	(1.5737)	(1.3998)
α	0.1023	0.1535	0.0533
	(9.2659)	(8.7191)	(10.3449)
β	0.8976	0.8464	0.9430
	(81.2374)	(48.0567)	(144.8464)
m	0.1215	0.2707	0.0004
	(1.2350)	(2.4730)	(1.6072)
	−0.0001	5.0009	−1.1112
	(−1.0984)	(0.0119)	(−1.5044)
	−0.0181	0.0O01	0.0001
	(−0.7499)	(2.3657)	(−0.9133)
	1.1918	1.0001	1.3065
	(3.6566)	(0.0057)	(3.5808)
	1.0001	1.1127	1.0015
	(0.7556)	(4.6032)	(0.8239)
	0.0005	0.0002	0.1357
	(0.6213)	(0.5154)	(1.0140)
BIC	−5.4553	−5.4296	−5.4765
LLH	−7224.0285	−7190.118	−7251.9256
MAE	0.0021	0.0020	0.0022
RMSE	0.0030	0.0028	0.0033

Note. is significant at 10% level; is significant at 5% level; is significant at 1% level.