Based on the characteristics of investors’ risk preference, which is considered to change with the two opposite outcomes (gain/loss), we build a DGARCH- M model by dividing investors’ return into gains and losses. Then we introduce a reference return which is used to measure the value of gains and losses into the model to allow the reference return controlling the characteristics of investors’ risk preference to change. The top ten market value stock composite indexes in Global Stock Exchange are adopted to make the empirical analysis. Resul...
