Mean Equation

Variance Equation

Indicator

SHIBOR_1w

0.0030***

−0.0293***

−0.0293***

0.3705***

−0.0742

(0.0000)

(0.0000)

(0.0000)

(0.0000)

(0.5469)

SHIBOR_1m

0.0001***

−0.0043***

−0.0043***

0.0357***

−0.2923**

(0.0002)

(0.0000)

(0.0000)

(0.0000)

(0.0139)

SHIBOR_3m

0.0000

−0.0001

−0.0002

0.0012***

−0.3127*

(0.8426)

(0.6118)

(0.1840)

(0.0070)

(0.0531)

SHIBOR_6m

0.0001

−0.0001

−0.0002

−0.0001

−0.3153***

(0.4518)

(0.7080)

(0.5225)

(0.6899)

(0.0000)

SHIBOR_9m

0.0006

0.0029***

0.0023

0.0157***

−0.0194

(0.1767)

(0.0000)

(0.3953)

(0.0000)

(0.7394)

SHIBOR_1y

0.0017***

−0.0032***

−0.0023*

0.0066***

−0.2496*

(0.0011)

(0.0000)

(0.0566)

(0.0000)

(0.0832)