参数

$r_{g,t}$

$r_{g,t}$

${\varphi }_0$

1.76572 × 10^−4***

5.65203 × 10^−4***

${\varphi }_1$

0.60212^***

/

${\theta }_1$

0.23665^***

/

$\upsilon$

4.32955^***

5.05505^***

${\lambda }_0$

4.74533 × 10⁻⁹

2.67544 × 10⁻⁶

${\lambda }_1$

0.06048

0.07267^***

${\eta }_1$

0.90994^***

0.91087^***

${\xi }^{上}$

0.330438^***

0.058765

${\beta }^{上}$

0.684593^***

0.528912^***

${\xi }_{下}$

0.032864

0.081280

${\beta }_{下}$

0.757193^***

0.826371^***

BIC

−12.180

−6.209