Table 4.

Estimates of the t-distribution mixture model parameters. The t value of each parameter is calculated based on QML(=Quasi Maximum Likelihood) estimator. ** and *** show the estimate is statistically significant at the 5% level and 1% level, respectively. Note that ${\mu }_x^d,$${\mu }_y^d,$${\sigma }_x^d$ and ${\sigma }_y^d$ are computed from the conditions of $\text{E}\left[{ϵ}_t\right]=0$ and $\text{Var}\left[{ϵ}_t\right]=1$.

	Pre-crisis	During-crisis
${\mu }_x^u$	0.16⁎⁎⁎	0.08⁎⁎
${\mu }_y^u$	0.11⁎⁎⁎	0.04⁎⁎⁎
${\sigma }_x^u$	0.71	0.96
${\sigma }_y^u$	0.76	0.72
ρu	0.18	0.24⁎⁎⁎
ρd	0.28⁎⁎	0.39⁎⁎⁎
p	0.69	0.85⁎⁎⁎
νu	10718	8.53
νd	6.78	3.37
${\mu }_x^d$	$-0.35$	$-0.45$
${\mu }_y^d$	$-0.23$	$-0.23$
${\sigma }_x^d$	1.16	0.00
${\sigma }_y^d$	1.14	1.05