Table 3.

The estimated parameters.

	USA	China	Hong Kong	Japan	South Korea
	SP500	CSI300	HS	N225	KS
$\mu$	0.0393**	0.0398**	0.02778	0.0403	0.0183
	(0.0170)	(0.0192)	(0.0195)	(0.0306)	(0.0287)
$\rho$	−0.0799***	−0.0154	−0.0034	0.0195	−0.0194
	(0.0307)	(0.0292)	(0.1577)	(0.0241)	(0.0291)
$\omega {\times }^{10000}$	−0.0514***	0.1874***	0.0982***	0.0157	−0.1876***
	(0.0081)	(0.0627)	(0.0117)	(0.0359)	(0.0353)
$\alpha$	−0.3234***	−0.0856***	−0.1327***	−0.2078***	−0.1491***
	(0.0412)	(0.0193)	(0.0199)	(0.0195)	(0.0289)
$\beta$	0.8255***	0.7358***	0.8121***	0.7354***	0.5413***
	(0.0204)	(0.0297)	(0.0392)	(0.0307)	(0.0874)
$\gamma$	0.0931***	0.1529***	0.0594	0.0257	0.2205***
	(0.0118)	(0.0291)	(0.0399)	(0.0355)	(0.0421)
P1	0.2458***	−0.2907***	−0.1859***	0.1521***	0.2294***
	(0.0526)	(0.0617)	(0.0499)	(0.0397)	(1.7665)
P2	0.1419***	−0.2069***	0.0305	−0.0343*	1.7916***
	(0.0271)	(0.0322)	(0.0181)	(0.0216)	(0.4516)
P3	0.1549***	–	−0.2055***	0.2745***	0.4522***
	(0.0165)		(0.0409)	(0.0914)	(0.1093)
P4	–	–	0.1374***	0.1594***	–
			(0.0215)	(0.0514)
P5	–	–	–	−0.0878***	–
				(0.0246)
Q2(20)	11.631	9.9585	13.372	14.131	18.852
	[0.967]	[0.8734]	[0.9012]	[0.6985]	[0.5172]
ARCH (20)	0.4914	0.4125	0.7025	0.8257	0.9292
	[0.8791]	[0.9547]	[0.8269]	[0.6837]	[0.5492]
AIC	2.3944	3.3976	3.1082	2.9590	2.5809
BIC	2.3982	3.3877	3.1458	3.0004	2.6147
LL	−1588.673	−2412.363	−2124.827	−2037.975	−17.588
BDS	−1.1125	−0.1878	0.8245	0.5908	−0.8531
	[0.3175]	[0.8277]	[0.4575]	[0.5107]	[0.3295]

Notes: Lagrange Multiplier test for heteroskedasticity is the ARCH (20). Ljung-Box Q-statistics of order 20 is the Q² (20). The fitting of models is tested by the Akaike information criterion, Bayesian information criterion, and Log-likelihood noted AIC; BIC; and LL, respectively. *** **and *denote significance at 1%, 5% and 10%, respectively. The hypothesis that series are i.d.d is tested through the BDS test. Round brackets are used for the standard errors and square brackets for p values.