| \( {R}_{m,t}^c \) | \( {R}_{a,t}^c \) | \( {R}_{d,t}^c \) |
---|
Mean equation |
γi, 11 | 0.017 (0.700) | − 0.165*** (− 7.071) | 1.063 × 10− 3 (0.044) |
γi, 12 | 0.280*** (10.620) | − 0.044** (− 2.443) | 0.238*** (7.130) |
γi, 21 | − 0.026 (− 1.103) | 9.005 × 10− 3 (0.371) | − 0.010 (− 0.602) |
γi, 22 | −0.042* (− 1.814) | −0.048** (− 2.098) | −0.044* (− 1.931) |
Variance equation |
α1 | 0.044*** (2.693) | 0.077*** (5.202) | 0.062*** (4.145) |
α2 | 0.186*** (6.794) | 0.182*** (6.872) | 0.183*** (6.829) |
β1 | 0.949*** (48.420) | 0.923*** (67.550) | 0.938*** (69.440) |
β2 | 0.776*** (30.100) | 0.778*** (31.160) | 0.777*** (30.700) |
θ1 | 4.783 × 10− 5 (0.005) | 0.042* (1.928) | 2.829 × 10− 3 (0.242) |
θ2 | 0.842 (0.304) | 0.499** (2.478) | 0.848*** (16.810) |
- Notes. This table shows the estimation results of the DCC-GARCH model. The maximum likelihood estimation is applied, and the estimation method is the two-step approach. The results are converged within 100 iterations. The sample period spans from January 1, 2010, to March 31, 2020. \( {R}_{m,t}^c \), \( {R}_{a,t}^c \), and \( {R}_{d,t}^c \) denote different \( {R}_{i,t}^c \) in the mean equation of the DCC-GARCH model. The estimations of the constants in the mean and variance equations are omitted. The t-statistics of the elements are shown in parenthesis. One, two and three asterisks (*), respectively, indicate that the t-values are significant at the 0.1, 0.05, and 0.01 level. Some less relevant parameter estimates are omitted