\( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) | |
---|---|---|---|
Panel A: Asymmetric BEKK-GARCH model estimation results | |||
Mean equation | |||
γi, 11 | −0.030 (− 0.323) | 4.765 × 10− 6 (− 2.856 × 10− 5) | − 0.242* (− 1.811) |
γi, 12 | 0.219*** (5.241) | − 0.080*** (− 2.893) | 0.145** (2.351) |
γi, 21 | −0.064 (− 0.740) | −0.110 (− 0.995) | −0.136*** (− 2.634) |
γi, 22 | −0.303*** (− 2.763) | −0.461*** (− 7.004) | −0.399*** (− 8.016) |
Variance equation | |||
ai, 12 | −0.153 (− 1.323) | 0.294 (1.015) | 2.786 × 10− 3 (0.041) |
ai, 21 | −0.120 (− 1.588) | 0.130** (2.015) | 0.157 (0.838) |
bi, 12 | 0.022 (0.497) | 0.513*** (3.819) | −0.178 (− 1.607) |
bi, 21 | 2.823 × 10− 3 (0.065) | 0.048** (2.006) | 0.155*** (2.811) |
di, 12 | 0.227* (1.887) | − 0.146 (− 0.343) | −0.040 (− 0.619) |
di, 21 | −0.143 (− 1.145) | −0.040 (− 0.325) | 5.360 × 10− 3 (− 0.023) |
Panel B: Test of volatility spillover effects between two countries | |||
Volatility spillovers | |||
The US to China (ai, 21 = bi, 21 = di, 21 = 0) | 2.749** [0.041] | 3.950** [0.008] | 3.866*** [0.009] |
China to the US (ai, 12 = bi, 12 = di, 12 = 0) | 2.407* [0.065] | 5.454*** [0.001] | 0.986 [0.398] |