GARCH风险

同方差风险

MAD风险

GAP

0.044

(0.138)

−0.64

(1.284)

−0.059

(0.217)

FC

0.219^***

(0.031)

0.205^***

(0.029)

0.205^***

(0.029)

LR

−0.82^***

(0.187)

−1.287^***

(0.153)

−1.289^***

(0.153)

TAR

17.432^**

(8.015)

37.766^***

(5.906)

37.835^***

(5.904)

MBR

−0.414

(0.283)

−0.112

(0.268)

−0.111

(0.268)

LV

2.071^***

(0.66)

1.929^***

(0.536)

1.923^***

(0.536)

AV

−0.471^***

(0.106)

−0.239^***

(0.081)

−0.24^***

(0.082)

CR

−4.616

(2.915)

−3.055

(1.906)

−3.03

(1.906)

常数项

−18.521^***

(6.814)

−14.835^***

(5.755)

−14.885^***

(5.757)

时间固定效应

控制

控制

控制

LM检验(p值)

<0.0001

<0.0001

<0.0001

Hausmam检验(p值)

<0.0001

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