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Table 8 Asymmetric BEKK-GARCH model estimation results

From: Half-day trading and spillovers

 

\( {R}_{m,t}^c \)

\( {R}_{a,t}^c \)

\( {R}_{d,t}^c \)

Mean equation

γi, 11

0.013 (0.655)

− 0.161*** (− 8.236)

2.487 × 10− 3 (− 0.122)

γi, 12

0.287*** (14.047)

−0.038*** (− 2.855)

0.247*** (8.962)

γi, 21

−6.973 × 10− 3 (− 0.466)

2.683 × 10− 3 (0.167)

−3.091 × 10− 3 (− 0.354)

γi, 22

−0.049** (− 2.110)

−0.045** (− 2.145)

−0.050** (− 2.283)

Variance equation

ai, 11

0.170*** (8.341)

0.266*** (18.900)

0.228*** (12.724)

ai, 12

−0.075** (− 2.735)

− 0.024 (− 1.252)

−0.044*** (− 3.003)

ai, 21

0.025 (1.155)

0.015 (1.440)

−0.050 (− 1.490)

ai, 22

0.053 (1.000)

− 0.025 (− 0.587)

0.019 (0.440)

bi, 11

0.978*** (232.517)

0.962*** (269.475)

0.972*** (271.051)

bi, 12

0.014** (2.240)

3.587 × 10− 3 (0.737)

0.012*** (3.094)

bi, 21

−0.029*** (− 4.055)

−0.011** (− 2.072)

−0.041*** (− 4.454)

bi, 22

0.892*** (105.880)

0.897*** (127.187)

0.897*** (120.926)

di, 11

−0.117*** (− 2.846)

−0.038 (− 0.970)

−0.084** (− 2.369)

di, 12

−0.080*** (− 3.167)

−0.091*** (− 3.877)

−0.078*** (− 4.879)

di, 21

−0.077** (− 3.512)

−0.047*** (− 3.134)

−0.127*** (− 4.517)

di, 22

−0.506*** (− 19.320)

−0.509*** (− 21.449)

−0.489*** (− 19.543)

  1. Notes. This table shows the estimation results of the asymmetric BEKK-GARCH model. The maximum likelihood estimation is applied, and the estimation method is Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm. 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 asymmetric BEKK-GARCH model. The estimations of the constants in the mean and variance equations are omitted. The t-statistics of the coefficients 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