Items | SSE Composite Index | SHSE-SZSE 300 Index | SSE 180 Index | |||
Group 1 | Group 2 | Group 1 | Group 2 | Group 1 | Group 2 | |
α | 0.002351 | 0.000304 | 0.002371 | 0.000215 | 0.002514 | 0.000171 |
(1.804762) | (0.522399) | (1.683619) | (0.304902) | (1.799939) | (0.243792) | |
θ | −2.791913 | −0.400187 | −2.010144 | −0.003922 | −2.349002 | 0.116467 |
(−1.197713) | (−0.202152) | (−0.890665) | (−0.001808) | (−1.059158) | (0.05504) | |
ϕ0 | 0.153788 | 0.007836 | 0.178638 | 0.004868 | 0.164331 | 0.010385 |
(2.059767)** | (0.186805) | (2.304188)** | (0.11247) | (2.157563)** | (0.240985) | |
ϕ1 | −208.1230 | 142.8628 | −190.8845 | 107.5139 | −190.0514 | 73.09347 |
(−2.240692)** | (2.103394)* | (−2.154074)** | (1.537544) | (−2.208615)** | (1.089568) | |
α0 | 0.00000341 | 0.00000283 | 0.0000018 | 0.00000399 | 0.0000035 | 0.0000042 |
(2.091966)** | (4.895807)*** | (2.18718)** | (4.600879)*** | (1.956839)* | (4.815853)*** | |
α1 | 0.072325 | 0.052258 | 0.011097 | 0.050736 | 0.066624 | 0.053207 |
(6.858148)*** | (7.895717)*** | (6.221614)*** | (6.913897)*** | (6.120176)*** | (7.386013)*** | |
β | 0.923433 | 0.93367 | 0.010971 | 0.933314 | 0.929195 | 0.9303 |
(90.70697)*** | (125.0082)*** | (84.39165)*** | (109.3732)*** | (85.87972)*** | (113.5822)*** |