Table 9. Maximum likelihood estimates of... | Emerald Publishing

Table 9.

Maximum likelihood estimates of the Gaussian-DCC model

Parameter	Estimate	SE	t-ratio	[Prob]
Lambda1 (λ1)
BTC	0.81000	0.023547	34.3989	0.000
JPN	0.81131	0.034595	23.4514	0.000
KOR	0.86167	0.025027	34.4303	0.000
STI	0.93161	0.013535	68.8290	0.000
PHIL	0.76420	0.043385	17.6144	0.000
HK	0.94599	0.009431	100.3046	0.000
Lambda2 (λ2)
BTC	0.14338	0.014886	9.6321	0.000
JPN	0.09972	0.015097	6.6055	0.000
KOR	0.06829	0.011193	6.1014	0.000
STI	0.04358	0.007429	5.8664	0.000
PHIL	0.13110	0.019541	6.7091	0.000
HK	0.03284	0.004814	6.8221	0.000
Maximized log-likelihood	33676.9

Parameter	Estimate	SE	t-ratio	[Prob]
Lambda1 (λ1)
BTC	0.81000	0.023547	34.3989	0.000
JPN	0.81131	0.034595	23.4514	0.000
KOR	0.86167	0.025027	34.4303	0.000
STI	0.93161	0.013535	68.8290	0.000
PHIL	0.76420	0.043385	17.6144	0.000
HK	0.94599	0.009431	100.3046	0.000
Lambda2 (λ2)
BTC	0.14338	0.014886	9.6321	0.000
JPN	0.09972	0.015097	6.6055	0.000
KOR	0.06829	0.011193	6.1014	0.000
STI	0.04358	0.007429	5.8664	0.000
PHIL	0.13110	0.019541	6.7091	0.000
HK	0.03284	0.004814	6.8221	0.000
Maximized log-likelihood	33676.9

Notes:

This table reveals statistics of maximum likelihood based on Gaussian-DCC model for Bitcoin and Asian indices. λ1 and λ2 are decay factors for variance and covariance, respectively