Table 6.

Estimation result of DCC-GARCH(1,1) for ICDS and LCDS

ParametersICDSLCDSCovariance
w0.042 (0.021)0.025 (0.012)0.288 (0.234)
α0.435 (0.084)0.336 (0.035)0.258 (0.070)
β0.532 (0.090)0.635 (0.038)0.725 (0.083)
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