Table 5.

The result of the EGARCH(1,1)-M model with the interaction in terms of VIX.

	Volume: Market trading volume		Volume: Day trading volume
	coefficient	std. error	coefficient	std. error
${\beta }_0$	0.0335	0.0398	0.1209**	0.0474
${\beta }_{R1}$	0.0084	0.0313	0.0310	0.0315
${\beta }_{R2}$	−0.0526*	0.0289	−0.0012	0.0327
${\mathit{\beta }}_{\mathit{h}}$	0.0207	0.0274	0.1275***	0.0481
$c_0$	−0.1231**	0.0501	−0.0713***	0.0181
$a$	0.1042**	0.0461	0.0594***	0.0194
$b$	0.9502***	0.0213	0.9702***	0.0099
$d$	−0.1600***	0.0237	−0.1092***	0.0173
$\omega$	0.0317***	0.0028	0.0100***	0.0019
${\mathit{\omega }}_{\mathit{H}}$	0.0009	0.0047	0.0004	0.0030
${\mathit{\omega }}_{\mathit{L}}$	−0.0062	0.0063	0.0034	0.0033
Log-likelihood function	−984.2159		−1049.6197
Model diagnosis
Ljung-Box Q(10)	8.8955		8.4679
McLeod-Li(10)	8.3687		7.7121

Note: The results using market trading volume and day trading volume are shown in Column (1) and Column (2).