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

Table 14

Three-factor mixture.

Variable	ERV + M1L + CPIL (three-factor mixture)	ERL + M1L + CPIL (three-factor level)	ERV + M1V + CPIV (three-factor fluctuation)
μ	0.0004	0.0005	0.0004
	(1.3591)	(1.5801)	(0.9837)
α	0.0498	0.0518	0.5688
	(10.2851)	(8.9983)	(9.4800)
β	0.9445	0.9419	0.4311
	(144.5195)	(110.5251)	(7.1803)
m	0.0002	0.0007	−0.0739
	(0.0785)	(1.6587)	(−0.4316)
θ^1	−0.5755	−0.0251	−4.9995
	(−1.8597)	(−1.5454)	(−0.0061)
θ^2	−0.0001	−0.0001	0.0001
	(−1.2887)	(−1.2997)	(0.6980)
θ^3	0.0001	0.0001	1.0401
	(0.1137)	(0.0324)	(0.8253)
ω^1	1.5402	1.0758	9.9993
	(2.5768)	(1.4662)	(0.0043)
ω^2	9.5854	1.0101	1.0005
	(0.0382)	(0.1634)	(0.9365)
ω^3	9.6721	4.5075	2.4398
	(0.0109)	(0.0108)	(2.7191)
	0.1692	0.0895	−0.0001
	(1.0022)	(0.9288)	(−0.0056)
BIC	−5.4703	−5.4894	−5.1914
LLH	−7251.6159	−6452.6558	−6312.7576
MAE	0.0022	0.0027	0.0019
RMSE	0.0034	0.0045	0.0024

Note. is significant at 10% level; is significant at 5% level; is significant at 1% level; L is level, V is fluctuation.