CSI-300 spot index

without maturity effect

with maturity effect

estimate

St.D

estimate

St.D

${\widehat{\alpha }}_0$

0.0332

0.012

0.3311

0.011

$\widehat{\lambda }$

−0.0795

0.042

−0.0796

0.041

${\widehat{\beta }}_0$

0.0221

0.003

0.0211

0.002

${\widehat{\beta }}_1$

0.8611

0.058

0.8634

0.056

${\widehat{\beta }}_2$

0.0321

0.011

0.0319

0.008

$\widehat{c}$

0.8592

0.133

0.8591

0.135

Basis dynamic process

${\widehat{\omega }}_0$

0.0743

0.012

0.0054

0.005

${\widehat{\omega }}_1$

−0.2187

0.016

−0.3155

0.017

${\widehat{\gamma }}_1$

.

.

0.7859

0.213

${\widehat{\gamma }}_2$

.

.

0.0538

0.012

${\widehat{a}}_0$

0.0074

0.003

0.0048

0.004

${\widehat{a}}_1$

0.8511

0.128

0.8436

0.197

${\widehat{a}}_2$

0.1023

0.074

0.1035

0.063

$\widehat{\pi }$

−0.0167

0.059

0.1354

0.067

$\widehat{\rho }$

−0.2135

0.0157

−0.2136

0.0186