Items | SSE Composite Index | SHSE-SZSE 300 Index | SSE 180 Index | |||
Group 1 | Group 2 | Group 1 | Group 2 | Group 1 | Group 2 | |
ω0 | 0.083672 | 0.0000002 | 0.00000519 | 0.00000279 | 0.00000563 | 0.00000417 |
(2.739673)*** | (2.705461)** | (2.479394)*** | (4.80066)*** | (2.523195)** | (4.660592)*** | |
ω | 0.049443 | 0.05344 | 0.062871 | 0.054286 | 0.060544 | 0.047011 |
(2.920160)*** | (5.557459)*** | (4.098672)*** | (6.566535)*** | (4.192624)*** | (5.499854)*** | |
γ | 0.054877 | −0.008817 | 0.027241 | −0.0045 | 0.023512 | 0.008573 |
(2.804220)*** | (−1.017516) | (1.627104) | (−0.511141) | (1.460334) | (0.951414) | |
λ | 0.907604 | 0.940361 | 0.915255 | 0.934117 | 0.919213 | 0.932044 |
(65.78585)*** | −82.01937 | (82.4307)*** | (123.1511)*** | (77.87705)*** | (108.2906)*** | |
ω + γ | 0.10433 | 0.040635 | 0.090112 | 0.049786 | 0.084056 | 0.055584 |