Table 3.

The result of the EGARCH(1,1)-M model concerning volume.

	Market trading volume		Day trading volume
	coefficient	std. error	Coefficient	std. error
${\beta }_0$	0.0302	0.0342	0.1089**	0.0492
${\beta }_{R1}$	0.0108	0.0289	0.0288	0.0333
${\beta }_{R2}$	−0.0511*	0.0298	−0.0031	0.0309
${\beta }_h$	0.0184	0.0224	0.1127***	0.0391
$c_0$	−0.1059**	0.0446	−0.0694***	0.0207
$a$	0.0907**	0.0431	0.0579***	0.0216
$b$	0.9589***	0.0164	0.9701***	0.0105
$d$	−0.1580***	0.0233	−0.1047***	0.0165
$\omega$	0.0312***	0.0026	0.0104***	0.0020
Log-likelihood function	−984.7956		−1050.1550
Model diagnosis
Ljung-Box Q(10)	9.0753		8.3415
McLeod-Li(10)	7.6839		7.3599

Note: The results using market trading volume and day trading volume are shown in Column (1) and Column (2). Ljung-Box and McLeod-Li are standard tests for autocorrelation in the levels and squares. These two statistics are asymptotic chi-squared distributions with the degrees of freedom shown in parentheses. Statistical significance is set at 10%, 5%, and 1% levels denoted by *, **, and ***.