Table 9.
Estimated slop and threshold (ψ) coefficients for the ASEAN-7 countries
| Slope coefficient (γ) | Threshold coefficient (ψ) | |||||
|---|---|---|---|---|---|---|
| GARCH | RV | RKV | GARCH | RV | R.K.V. | |
| Indonesia | 4.080** | 3.316** | 4.746*** | 4.754*** | 4.593*** | 4.642*** |
| − 1.833 | − 2.302 | − 3.353 | − 84.706 | − 42.427 | − 78.136 | |
| Vietnam | 2.129*** | 2.518*** | 4.287*** | 5.932*** | 6.278*** | 4.711*** |
| − 2.998 | − 3.103 | − 4.013 | − 66.601 | − 114.599 | − 80.587 | |
| Thailand | 3.999 | 2.316*** | 3.882*** | 4.739*** | 5.939*** | 4.720*** |
| − 1.94 | − 4.942 | − 2.946 | − 117.727 | − 101.668 | − 52.67 | |
| Myanmar | 2.261*** | 2.787*** | 2.176 | 5.977*** | 6.243*** | 5.139*** |
| − 4.979 | − 6.432 | − 2.128 | − 103.877 | − 154.393 | − 46.646 | |
| Malaysia | 2.807*** | 2.921*** | 1.922*** | 6.240*** | 6.332*** | 5.809*** |
| − 4.842 | − 3.979 | − 3.848 | − 102.444 | − 104.598 | − 102.922 | |
| Thailand | 3.914* | 6.100* | 3.967*** | 4.695*** | 4.681*** | 4.636*** |
| − 1.51 | − 1.619 | − 3.178 | − 109.45 | − 103.267 | − 46.218 | |
| Philippines | 14.374*** | 20.649*** | 7.248** | 5.555*** | 5.321*** | 4.685*** |
| − 3.194 | − 2.824 | − 1.995 | − 193.381 | − 120.638 | − 103.777 | |
| ρ | – | 0.979 | 0.845 | – | 0.778 | 0.708 |