Table 4.

Estimation results for the ARMA-DCC-ADCC-GARCH process.

	DCC	ADCC
	Coef.	S.E.	t-stat	Prob	Coef.	S.E.	t-stat	Prob
$u_{S\&P500}$	0.076282	0.005486	1.390e+01	0.00000	0.074262	0.012511	5.935825	0.000000
$A{R}_{S\&P500}$	0.959602	0.008604	1.115e+02	0.00000	0.763577	0.114258	6.682928	0.000000
$M{A}_{S\&P500}$	−1.034701	0.000011	−9.17e+04	0.00000	−0.819141	0.116016	−7.060620	0.000000
${\omega }_{S\&P500}$	0.027871	0.007215	3.860e+00	0.00012	0.030567	0.006465	4.727788	0.000002
${\alpha }_{S\&P500}$	0.185074	0.028642	6.461e+00	0.00000	0.000436	0.017796	0.024515	0.980442
${\beta }_{S\&P500}$	0.808261	0.025064	3.228e+01	0.00000	0.824524	0.024022	34.323514	0.000000
${\gamma }_{S\&P500}$					0.294672	0.051119	5.764436	0.000000
${\lambda }_{S\&P500}$	4.497313	0.352616	1.275e+01	0.00000	4.709163	0.411914	11.432406	0.000000
$u_{CSI300}$	0.041053	0.021508	1.907e+00	0.05600	0.038547	0.021795	1.768637	0.076954
$A{R}_{CSI300}$	−0.851760	0.086278	−9.83e+00	0.00000	−0.85170	0.086537	−9.834702	0.000000
$M{A}_{CSI300}$	0.849592	0.087669	9.690e+00	0.00000	0.850468	0.087846	9.681397	0.000000
${\omega }_{CSI300}$	0.013565	0.005676	2.390e+00	0.01648	0.015339	0.007077	2.167408	0.030204
${\alpha }_{CSI300}$	0.057572	0.010050	5.728e+00	0.00000	0.051603	0.010820	4.769331	0.000002
${\beta }_{CSI300}$	0.939849	0.009696	9.693e+01	0.00000	0.937363	0.011737	79.861534	0.000000
${\gamma }_{CSI300}$					0.015100	0.018404	0.820452	0.411958
${\lambda }_{CSI300}$	4.440714	0.365139	1.216e+01	0.00000	4.407926	0.363746	12.118146	0.000000
a	0.002567	0.001322	1.942e+00	0.05207	0.012249	0.014017	0.873901	0.382172
$b$	0.996613	0.002131	4.675e+02	0.00000	0.933156	0.166451	5.606178	0.000000
c					0.000000	0.016984	0.000009	0.999993
$\lambda$	5.123312	0.297466	1.723e+01	0.00000	5.260955	0.329326	15.974936	0.000000
Akaike	5.6917				5.6674
Bayes	5.7468				5.7300
Shibata	5.6915				5.6672
H-Q	5.7118				5.6903
LL	−6501				−6470

Notes: DCC and ADCC are estimated using a multivariate normal (MVNORM) distribution. All specifications include a constant and AR(1) and MA(1) terms in the mean equation.