Table 7 The estimated results of VAR(p) model (2007.01-2018.10)
| Total: VAR(2) | SMetro: VAR(4) |
| gNt | Vol Nt | gNt | Vol Nt |
| gNt−1 | 1.5437 (18.56) | 0.4858 (4.074) | 1.6164 (14.739) | 0.2002 (1.812) |
| gNt−2 | −0.6348 (–8.100) | −0.4841 (–4.308) | −0.9835 (–4.877) | −0.580 (-2.854) |
| gNt−3 | | | 0.2786 (1.374) | 0.5457 (2.671) |
| gNt−4 | | | −0.112 (–1.016) | −0.254 (-2.296) |
| Vol Nt−1 | 0.1790 (2.650) | 1.2362 (12.762) | 0.1785 (1.641) | 1.6694 (15.233) |
| Vol Nt−2 | −0.1459 (–2.151) | −0.3619 (–3.722) | 0.0351 (0.1777) | −0.725 (-3.627) |
| Vol Nt−3 | | | −0.341 (–1.715) | −0.200 (-1.000) |
| Vol Nt−4 | | | 0.2523 (2.221) | 0.2311 (2.020) |
| c | −0.0018 (−0.130) | −0.0024 (−0.122) | −0.004 (−0.271) | −0.005 (−0.324) |
| AdjR2 | 0.9722 | 0.9426 | 0.9525 | 0.9514 |
| AIC | −0.7148 | 0.0055 | −0.1828 | −0.1675 |
| SC | −0.6098 | 0.1106 | 0.0080 | 0.0233 |
| 5Cities: VAR(3) | NMetro: VAR(3) |
| gNt | Vol Nt | gNt | Vol Nt |
| gNt−1 | 1.2760 (15.196) | 0.4633 (3.173) | 1.3204 (15.576) | 0.5036 (3.147) |
| gNt−2 | 0.0377 (0.271) | −0.2911 (–1.206) | −0.1103 (−0.775) | −0.1269 (−0.472) |
| gNt−3 | −0.3760 (–4.592) | −0.1637 (–1.150) | −0.2735 (–3.313) | −0.2807 (-1.801) |
| Vol Nt−1 | 0.1287 (2.464) | 1.1885 (13.077) | 0.1002 (2.144) | 1.0469 (11.868) |
| Vol Nt−2 | −0.1034 (–1.316) | −0.2791 (–2.041) | −0.0191 (−0.285) | −0.1519 (-1.199) |
| Vol Nt−3 | −0.0035 (−0.068) | −0.0284 (−0.313) | −0.0582 (–1.240) | −0.0949 (-1.072) |
| c | 0.0004 (0.041) | 0.0001 (0.008) | −0.0004 (−0.033) | 0.0047 (0.202) |
| AdjR2 | 0.9818 | 0.9446 | 0.9790 | 0.9260 |
| AIC | –1.1058 | 0.0003 | −0.9675 | 0.3026 |
| SC | −0.9581 | 0.1481 | −0.8197 | 0.4504 |
According to the lag(p) selection criteria, we selected VAR(2) model in Total, VAR(4) model in Smetro, VAR(3) model in 5Cities and Nmetro.
Numbers in the parenthesis represent t statistics.