样本

模型

分布假设

参数值

ω

α

γ

β

Hs300

ARMA (2, 2)-

EGARCH (1, 1)

正态分布

−0.2094^***

(0.0000)

0.1532^***

(0.0000)

−0.0109^**

(0.0371)

0.9889^***

(0.0000)

t分布

−0.2094^***

(0.0000)

0.1389^***

(0.0000)

−0.02112^**

(0.0410)

0.9874^***

(0.0000)

GED分布

−0.2160^***

(0.0000)

0.1435^***

(0.0000)

−0.0177^*

(0.0732)

0.9873^***

(0.0000)

Zz500

ARMA (1, 1)-

EGARCH (1, 1)

正态分布

−0.2907^***

(0.0000)

0.1546^***

(0.0000)

−0.0332^***

(0.0000)

0.9793^***

(0.0000)

t分布

−0.2839^***

(0.0000)

0.1592^***

(0.0000)

−0.0411^***

(0.0001)

0.9805^***

(0.0000)

GED分布

−0.2888^***

(0.0000)

0.1562^***

(0.0000)

−0.0379^***

(0.0001)

0.9797^***

(0.0000)

Zz1000

MA (1)-

EGARCH (1, 1)

正态分布

−0.3026^***

(0.0000)

0.1335^***

(0.0000)

−0.0342^***

(0.0001)

0.9755^***

(0.0000)

t分布

−0.2590^***

(0.0000)

0.1489^***

(0.0000)

−0.0368^***

(0.0004)

0.9822^***

(0.0000)

GED分布

−0.2845^***

(0.0000)

0.1431^***

(0.0000)

−0.0369^***

(0.0002)

0.9786^***

(0.0000)