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)