Results of bivariate BEKK-GARCH model for African countries
| Egypt/Morocco | Ghana/Nigeria | Uganda/Kenya | Botswana/South Africa | |
|---|---|---|---|---|
| Panel A: Model estimates | ||||
| C(1,1) | 0.057 (0.139) | 0.935 (0.000) | 0.050 (0.059) | 0.031 (0.041) |
| C(2,1) | 0.291 (0.051) | −0.025 (0.216) | −0.051 (0.000) | 0.545 (0.000) |
| C(2,2) | −0.000 (0.999) | 0.143 (0.000) | −0.000 (0.999) | −0.086 (0.347) |
| A(1,1) | 1.296 (0.000) | 0.414 (0.000) | 0.454 (0.000) | −0.215 (0.000) |
| A(1,2) | −0.020 (0.346) | 0.018 (0.310) | 0.033 (0.044) | −1.661 (0.000) |
| A(2,1) | 2.850 (0.000) | −0.021 (0.724) | −0.465 (0.000) | 0.079 (0.000) |
| A(2,2) | −0.009 (0.806) | 0.511 (0.000) | 0.104 (0.000) | 0.738 (0.000) |
| B(1,1) | 0.407 (0.000) | 0.485 (0.000) | 0.506 (0.000) | −1.117 (0.000) |
| B(1,2) | −0.003 (0.887) | 0.009 (0.739) | −0.437 (0.000) | −3.324 (0.000) |
| B(2,1) | 0.016 (0.906) | 0.041 (0.346) | 1.223 (0.000) | 0.058 (0.031) |
| B(2,2) | 0.564 (0.358) | 0.863 (0.000) | 0.670 (0.000) | 0.611 (0.000) |
| Panel B: Wald test for volatility spillover | ||||
| 1 → 2 | 1.10 (0.576) | 0.90 (0.637) | 1235.8 (0.000) | 774.08 (0.000) |
| 2 → 1 | 1033.51 (0.000) | 4.43 (0.108) | 1402.3 (0.000) | 80.81 (0.000) |
| Panel C: Post estimation diagnostic tests | ||||
| MvLM (10) | 19.11 (0.038) | 0.70 (0.994) | 0.17 (1.000) | 2.32 (0.993) |
| MvQ (10) | 1.36 (0.999) | 0.03 (0.999) | 0.45 (1.000) | 20.22 (0.072) |
| Egypt/Morocco | Ghana/Nigeria | Uganda/Kenya | Botswana/South Africa | |
|---|---|---|---|---|
| C(1,1) | 0.057 (0.139) | 0.935 (0.000) | 0.050 (0.059) | 0.031 (0.041) |
| C(2,1) | 0.291 (0.051) | −0.025 (0.216) | −0.051 (0.000) | 0.545 (0.000) |
| C(2,2) | −0.000 (0.999) | 0.143 (0.000) | −0.000 (0.999) | −0.086 (0.347) |
| A(1,1) | 1.296 (0.000) | 0.414 (0.000) | 0.454 (0.000) | −0.215 (0.000) |
| A(1,2) | −0.020 (0.346) | 0.018 (0.310) | 0.033 (0.044) | −1.661 (0.000) |
| A(2,1) | 2.850 (0.000) | −0.021 (0.724) | −0.465 (0.000) | 0.079 (0.000) |
| A(2,2) | −0.009 (0.806) | 0.511 (0.000) | 0.104 (0.000) | 0.738 (0.000) |
| B(1,1) | 0.407 (0.000) | 0.485 (0.000) | 0.506 (0.000) | −1.117 (0.000) |
| B(1,2) | −0.003 (0.887) | 0.009 (0.739) | −0.437 (0.000) | −3.324 (0.000) |
| B(2,1) | 0.016 (0.906) | 0.041 (0.346) | 1.223 (0.000) | 0.058 (0.031) |
| B(2,2) | 0.564 (0.358) | 0.863 (0.000) | 0.670 (0.000) | 0.611 (0.000) |
| 1 → 2 | 1.10 (0.576) | 0.90 (0.637) | 1235.8 (0.000) | 774.08 (0.000) |
| 2 → 1 | 1033.51 (0.000) | 4.43 (0.108) | 1402.3 (0.000) | 80.81 (0.000) |
| MvLM (10) | 19.11 (0.038) | 0.70 (0.994) | 0.17 (1.000) | 2.32 (0.993) |
| MvQ (10) | 1.36 (0.999) | 0.03 (0.999) | 0.45 (1.000) | 20.22 (0.072) |
Note(s): → indicates direction of volatility spillover. MvLM and MvQ are multivariate ARCH-LM and Ljung–Box Q-statistic for null hypotheses of no ARCH effect and no autocorrelation in multivariate GARCH model squared residuals and residuals, respectively. Lag lengths are displayed as (.)
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.