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Table 15 Asymmetric BEKK-GARCH model estimation result

From: Half-day trading and spillovers

  \( {R}_{d,t}^c \)
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]
  1. Notes. This table shows the robustness check of the first sample sub-period (from November 25, 1994, to September 28, 2001), which is the sample period in the Wang and Firth (2004) paper
  2. The intraday trading data are not available until 2007. Thus, when we examine the period from 1994.11.25 to 2001.9.28 as in Wang and Firth (2004), we look only at the all-day trading spillover effects. We are not able to distinguish between the morning trading and afternoon trading
  3. One, two and three asterisks (*), respectively, indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level