Table 7. Contagion test by... | Emerald Publishing

Table 7.

Contagion test by DCC-GARCH(1,1)

Contagion between LCDSs and ICDSs	Before crisis	Crisis	After crisis
Panel A: summary statistics of ρ_t
Mean	0.470	0.676	0.312
Std. dev	0.566	0.318	0.524
Panel B: t-test for contagion
H₀	t stat	DF	p-value
ρ(before crisis) = ρ(crisis)	4.27	295.73	2.66 × 10^–5
ρ(after crisis) = ρ(crisis)	7.80	273.58	1.30 × 10^–13

Contagion between LCDSs and ICDSs	Before crisis	Crisis	After crisis
Panel A: summary statistics of ρ_t
Mean	0.470	0.676	0.312
Std. dev	0.566	0.318	0.524
Panel B: t-test for contagion
H₀	t stat	DF	p-value
ρ(before crisis) = ρ(crisis)	4.27	295.73	2.66 × 10^–5
ρ(after crisis) = ρ(crisis)	7.80	273.58	1.30 × 10^–13