Table 4.

The result of the EGARCH(1,1)-M model with expected and unexpected volume.

	Market trading volume		Day trading volume
	Coefficient	std. error	Coefficient	std. error
${\beta }_0$	0.0293	0.0393	0.1137**	0.0482
${\beta }_{R1}$	−0.0021	0.0256	0.0193	0.0304
${\beta }_{R2}$	−0.0567*	0.0293	−0.0092	0.0290
${\beta }_h$	0.0155	0.0243	0.1199***	0.0450
$c_0$	−0.1042***	0.0376	−0.0545***	0.0227
$a$	0.0786***	0.0300	0.0307	0.0197
$b$	0.9698***	0.0107	0.9727***	0.0080
$d$	−0.1278***	0.0204	−0.0963***	0.0143
${\omega }_e$	0.0094	0.0063	0.0031	0.0027
${\omega }_{u0}$	0.0364***	0.0028	0.0160***	0.0022
${\omega }_{u1}$	−0.0015	0.0039	0.0021	0.0025
${\omega }_n$	0.0019	0.0017	0.0011	0.0008
Log-likelihood function	−966.9749		−1039.1409
Model diagnosis
Ljung-Box Q(10)	9.0753		8.9093
McLeod-Li(10)	7.6839		8.5588

Note: The results using market trading volume and day trading volume are shown in Column (1) and Column (2). Volume variables are divided into expected and unexpected components by employing ARMA(p, q) models.