Table 3.
Results of the ADCC EGARCH model.
| US | Japan | South Korea | Germany | India | Netherlands | UK | Singapore | Taiwan | |
| Conditional variance | |||||||||
| Const | −0.0137*** | 0.1918 | −0.0003 | 0.0010 | 0.0305*** | −0.0097** | −0.0046* | −0.0042 | −0.0007 |
| Arch (α) | −0.1794*** | 0.1427*** | −0.0965*** | −0.1536*** | 0.0011*** | −0.1893*** | −0.1513*** | −0.1284** | −0.0777*** |
| Garch (β) | 0.9722*** | 0.9109*** | 0.9715*** | 0.9817*** | 0.8831*** | 0.9732*** | 0.9824*** | 0.9786*** | 0.9744*** |
| Leverage (γ) | 0.2174*** | 0.2394* | 0.1369*** | 0.0854*** | 0.1709*** | 0.1198*** | 0.0719*** | 0.0873*** | 0.0990*** |
| Joint | |||||||||
| a | 0.0436** | 0.0061** | 0.0121 | 0.0290** | 0.0084** | 0.0077 | 0.0127* | 0.0094** | 0.0102* |
| b | 0.6476*** | 0.9885*** | 0.9462*** | 0.9349*** | 0.9582*** | 0.9860*** | 0.9741*** | 0.9186*** | 0.9737*** |
| Shape | |||||||||
| m | 4.6590*** | 4.8427*** | 4.2386*** | 4.5358*** | 5.0969*** | 4.7551*** | 4.8731*** | 5.3304*** | 4.9432*** |
| Information Criterion | |||||||||
| AIC | 5.5780 | 8.0185 | 5.7731 | 5.9508 | 5.7735 | 5.7618 | 5.7782 | 5.8353 | 5.8029 |
| BIC | 5.8224 | 8.2978 | 6.0170 | 6.2018 | 5.9358 | 6.0040 | 6.0167 | 6.0723 | 6.0404 |
| HQ | 5.6701 | 8.1247 | 5.8650 | 6.0456 | 5.8348 | 5.8530 | 5.8680 | 5.9425 | 5.8922 |
| Log-likelihood | |||||||||
| LL | −3245.185 | −3960.274 | −3369.342 | −3349.812 | −3285.67 | −3391.411 | −3467.674 | −3531.722 | −3503.069 |
| Russia | Australia | Canada | Brazil | France | Thailand | Italy | Spain | ||
| Conditional variance | |||||||||
| Const | −0.0054 | −0.0048 | −0.0140*** | 0.0257*** | −0.0013 | −0.0001 | 0.0460 | 0.0053 | |
| Arch (α) | −0.0433** | −0.1145*** | −0.1397*** | −0.0671*** | −0.1591** | −0.0566** | 0.1059* | −0.1131*** | |
| Garch (β) | 0.9695*** | 0.9827*** | 0.9794*** | 0.9824*** | 0.9707*** | 0.9902*** | 0.9577*** | 0.9673*** | |
| Leverage (γ) | 0.1081*** | 0.1114*** | 0.1474*** | 0.1170*** | 0.1391*** | 0.1627*** | 0.1960*** | 0.1446*** | |
| Joint | |||||||||
| a | 0.0088* | 0.0055** | 0.0000 | 0.0090** | 0.0224*** | 0.0051*** | 0.0010** | 0.0228* | |
| b | 0.8141*** | 0.9784*** | 0.8492*** | 0.9655*** | 0.9340*** | 0.9840*** | 0.9952*** | 0.9149*** | |
| Shape | |||||||||
| m | 5.6673*** | 5.4730*** | 5.3405*** | 4.7176*** | 4.9015*** | 4.5301*** | 4.0000*** | 5.4170*** | |
| Information criterion | |||||||||
| AIC | 5.9152 | 5.7409 | 5.4475 | 7.4825 | 5.9009 | 5.8285 | 6.0361 | 6.1319 | |
| BIC | 6.1876 | 5.9807 | 5.6918 | 7.7214 | 6.1432 | 6.0791 | 6.2801 | 6.3742 | |
| HQ | 6.0186 | 5.8312 | 5.5396 | 7.5724 | 5.9922 | 5.9231 | 6.1281 | 6.2232 | |
| Log-likelihood | |||||||||
| LL | −3001.550 | −3421.964 | −3170.657 | −4419.824 | −3474.708 | −3288.573 | −3522.385 | −3612.957 | |
Note: The results of the ADCC EGARCH model are for the full period of study.
***, ** and * indicate the significance level at 1%, 5%, 10% respectively.