Table 9.

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

	Volume: Market trading volume		Volume: Day trading volume
	Period 1	Period 2	Period 1	Period 2
${\beta }_0$	−0.0219	0.2353***	0.0171	0.3563***
${\beta }_{R1}$	−0.0215	0.0292	0.0271	0.0513
${\beta }_{R2}$	−0.0849**	−0.0061	−0.0410	0.0391
${\beta }_h$	−0.0123	0.1606**	0.0545	0.2945***
$c_0$	−0.1022**	−0.4891***	−0.0463	−0.3394***
$a$	0.0675*	0.1804***	0.0396	0.1366***
$b$	0.9728***	0.7904***	0.9762***	0.8348***
$d$	−0.1248**	−0.1989***	−0.0957***	−0.1383***
${\omega }_e$	0.0165	0.0182	0.0061	−0.0015
${\omega }_{u0}$	0.0437***	0.0327***	0.0145***	0.0202***
${\omega }_{u1}$	−0.0047	−0.0033	0.0025	0.0036
${\omega }_n$	0.0041	0.0131**	0.0003	0.0077***
Log-likelihood function	−547.9371	−409.8850	−596.0431	−434.7968
Model diagnosis
Ljung-Box Q(10)	8.2031	7.5230	5.9229	7.7407
McLeod-Li(10)	13.5879	9.8453	7.3447	8.2188

Note: Same Note is shown in Table 4.