\( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | |
---|---|---|---|
Mean equation | |||
γi, 11 | 0.013 (0.655) | − 0.161*** (− 8.236) | 2.487 × 10− 3 (− 0.122) |
γi, 12 | 0.287*** (14.047) | −0.038*** (− 2.855) | 0.247*** (8.962) |
γi, 21 | −6.973 × 10− 3 (− 0.466) | 2.683 × 10− 3 (0.167) | −3.091 × 10− 3 (− 0.354) |
γi, 22 | −0.049** (− 2.110) | −0.045** (− 2.145) | −0.050** (− 2.283) |
Variance equation | |||
ai, 11 | 0.170*** (8.341) | 0.266*** (18.900) | 0.228*** (12.724) |
ai, 12 | −0.075** (− 2.735) | − 0.024 (− 1.252) | −0.044*** (− 3.003) |
ai, 21 | 0.025 (1.155) | 0.015 (1.440) | −0.050 (− 1.490) |
ai, 22 | 0.053 (1.000) | − 0.025 (− 0.587) | 0.019 (0.440) |
bi, 11 | 0.978*** (232.517) | 0.962*** (269.475) | 0.972*** (271.051) |
bi, 12 | 0.014** (2.240) | 3.587 × 10− 3 (0.737) | 0.012*** (3.094) |
bi, 21 | −0.029*** (− 4.055) | −0.011** (− 2.072) | −0.041*** (− 4.454) |
bi, 22 | 0.892*** (105.880) | 0.897*** (127.187) | 0.897*** (120.926) |
di, 11 | −0.117*** (− 2.846) | −0.038 (− 0.970) | −0.084** (− 2.369) |
di, 12 | −0.080*** (− 3.167) | −0.091*** (− 3.877) | −0.078*** (− 4.879) |
di, 21 | −0.077** (− 3.512) | −0.047*** (− 3.134) | −0.127*** (− 4.517) |
di, 22 | −0.506*** (− 19.320) | −0.509*** (− 21.449) | −0.489*** (− 19.543) |