Table 10.

The result of the EGARCH(1,1)-M model incorporating VIX for subsamples.

	Market trading volume		Day trading volume
	Period 1	Period 2	Period 1	Period 2
${\beta }_0$	−0.0162	0.2053**	0.0152	0.5314***
${\beta }_{R1}$	−0.0106	0.0433	0.0333	0.1069**
${\beta }_{R2}$	−0.0660*	−0.0365	−0.0366	0.0535
${\mathit{\beta }}_{\mathit{h}}$	0.0031	0.1304*	0.0452	0.4669***
$c_0$	−0.0281	−0.5225***	−0.0517**	−0.4194***
$a$	0.0177	0.2140**	0.0484**	0.1601***
$b$	0.9809***	0.6859***	0.9774***	0.7116***
$d$	−0.1333***	−0.1939***	−0.0987***	−0.1759
$\omega$	0.0334***	0.0238***	0.0102	0.0127***
${\mathit{\omega }}_{\mathit{H}}$	0.0051	0.0243**	0.0004***	0.0173***
${\omega }_L$	0.0124	−0.0027	0.0016	0.0013
Log-likelihood function	−535.7632	−411.9000	−600.2726	−435.1038
Model diagnosis
Ljung-Box Q(10)	5.1086	8.1052	5.6552	9.6459
McLeod-Li(10)	10.8880	7.1637	6.6785	7.5733

Notes: Same Note is shown in Table 5.