Table 7.

Volatility spillover estimated from VAR-BEKK-GARCH.

Panel A: Estimation results
	Coeff	Std Error	T-Stat
C(1,1)	0.0190	0.0034	5.5366***
C(2,1)	−0.0047	0.0010	−4.7829***
C(2,2)	−0.0000	0.0024	−0.0000
A(1,1)	0.2336	0.0446	5.2419***
A(1,2)	−0.0476	0.0127	−3.7364***
A(2,1)	0.1774	0.1304	1.3605
A(2,2)	0.4360	0.0506	8.6093***
B(1,1)	0.8691	0.0476	18.2750***
B(1,2)	0.1142	0.0126	9.0415***
B(2,1)	−0.4735	0.1576	−3.0053***
B(2,2)	0.7086	0.0511	13.8699***
Panel B: Wald test			Wald Test
A(1,2) = B(1,2)			90.753734***
A(2,1) = A(2,1)			9.652930***
A(1,2) = B(1,2) = A(2,1) = A(2,1)			98.141248***

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