\( {R}_{d,t}^c \) | |
---|---|
Mean equation | |
γi, 11 | −0.038 (− 1.463) |
γi, 12 | −0.062** (− 2.077) |
γi, 21 | 4.130 × 10− 4 (0.052) |
γi, 22 | 0.060*** (2.622) |
Variance equation | |
ai, 12 | 2.877 × 10− 3 (0.481) |
ai, 21 | −0.014 (− 0.589) |
bi, 12 | 6.793 × 10− 3 (− 0.494) |
bi, 21 | 1.405 × 10− 3 (− 0.284) |
di, 12 | 0.025*** (2.844) |
di, 21 | 0.050 (1.571) |
Volatility spillovers | |
The US to China (ai, 21 = bi, 21 = di, 21 = 0) | 1.355 [0.254] |
China to the US (ai, 12 = bi, 12 = di, 12 = 0) | 3.810*** [0.009] |