Table 6.

Estimation results of VAR-BEK-GARCH after the outbreak of Covid-19.

Panel A: Estimation results
	Coeff	Std Error	T-Stat
C(1,1)	0.0100	0.0024	4.1181***
C(2,1)	0.0183	0.0026	7.0961***
C(2,2)	−0.0000	0.0032	−0.0000
A(1,1)	−0.1036	0.1613	−0.6426
A(1,2)	−0.8976	0.1425	−6.2992***
A(2,1)	0.5827	0.1370	4.2521***
A(2,2)	1.0287	0.1572	6.5457***
B(1,1)	0.8437	0.0703	11.9989***
B(1,2)	0.1573	0.0791	1.9890**
B(2,1)	0.0275	0.0847	0.3240
B(2,2)	0.6105	0.0870	7.0179***
Panel B: Wald test			Wald test
A(1,2) = B(1,2)			39.7349***
A(2,1) = A(2,1)			31.8814***
A(1,2) = B(1,2) = A(2,1) = A(2,1)			79.7450***
Panel C: Basic information of the dynamic hedging			Value
Average Hedge ratio			0.8689
Min			1.5691
Max			−0.7074
HE value			0.6778

A(i,j), B(i,j), and C(i,j) are elements for matrix A, B and C, respectively. **, and *** denotes significance at 10, 5 and 1% level, respectively.