Table V Estimates results of... | Emerald Publishing

Table V

Estimates results of multivariate GARCH-BEKK model

Parameters	Coefficient	SE	t-statistics	Prob.
μ₁	0.075345644	0.025824804	2.91757	0.00352772*
μ₂	0.065833098	0.019543558	3.36853	0.00075570*
μ₃	0.047470929	0.021133112	2.24628	0.02468595**
μ₄	0.035911485	0.021459451	1.67346	0.09423721***
μ₅	0.004079988	0.015394922	0.26502	0.79099276
c(1,1)	0.229502448	0.031241093	7.34617	0.00000000*
c(2,1)	0.109359747	0.024112911	4.53532	0.00000575*
c(2,2)	0.206119394	0.011450294	18.00123	0.00000000*
c(3,1)	0.140077111	0.028026987	4.99794	0.00000058*
c(3,2)	0.130089156	0.025066447	5.18977	0.00000021*
c(3,3)	−0.050133447	0.021776303	−2.30220	0.02132379*
c(4,1)	0.128464659	0.024017483	5.34880	0.00000009*
c(4,2)	−0.060482306	0.030969161	−1.95298	0.05082138**
c(4,3)	0.100949177	0.045293567	2.22878	0.02582887**
c(4,4)	0.091923995	0.033091132	2.77790	0.00547108*
c(5,1)	−0.046919150	0.010980810	−4.27283	0.00001930*
c(5,2)	0.023549815	0.012542412	1.87761	0.06043392**
c(5,3)	0.000773416	0.016257004	0.04757	0.96205549
c(5,4)	0.051855647	0.014455978	3.58714	0.00033432*
c(5,5)	−0.001568240	0.029834503	−0.05256	0.95807878
a(1,1)	0.044947848	0.020025045	2.24458	0.02479500**
a(1,2)	0.065982223	0.015807728	4.17405	0.00002992*
a(1,3)	−0.047176780	0.016819316	−2.80492	0.00503296*
a(1,4)	0.085967928	0.015654973	5.49141	0.00000004*
a(1,5)	0.031380032	0.009180966	3.41794	0.00063096*
a(2,1)	0.038071641	0.015855790	2.40112	0.01634501**
a(2,2)	0.129085538	0.013160646	9.80845	0.00000000*
a(2,3)	0.165386250	0.012266274	13.48301	0.00000000*
a(2,4)	0.039450365	0.019862573	1.98617	0.04701491**
a(2,5)	0.014619467	0.009264733	1.57797	0.11457261
a(3,1)	0.169276863	0.016534583	10.23775	0.00000000*
a(3,2)	−0.046464943	0.016580751	−2.80234	0.00507330*
a(3,3)	0.117908448	0.014764519	7.98593	0.00000000*
a(3,4)	0.087959104	0.018739165	4.69386	0.00000268*
a(3,5)	0.008887421	0.010841846	0.81973	0.41236821
a(4,1)	−0.211193576	0.014983040	−14.09551	0.00000000*
a(4,2)	−0.129776856	0.011963119	−10.84808	0.00000000*
a(4,3)	−0.154583318	0.012060675	−12.81714	0.00000000*
a(4,4)	0.272512838	0.016813667	16.20782	0.00000000*
a(4,5)	−0.053524886	0.008414304	−6.36118	0.00000000*
a(5,1)	0.050644088	0.014595182	3.46992	0.00052062*
a(5,2)	0.027826194	0.009745112	2.85540	0.00429826*
a(5,3)	0.015617580	0.013850870	1.12755	0.25950906
a(5,4)	0.061550069	0.017951891	3.42861	0.00060668*
a(5,5)	0.259371223	0.012874033	20.14685	0.00000000*
b(1,1)	0.967843326	0.008573333	112.88998	0.00000000*
b(1,2)	−0.026142173	0.007346966	−3.55823	0.00037337*
b(1,3)	0.069679133	0.008550430	8.14920	0.00000000*
b(1,4)	−0.057286191	0.013567246	−4.22239	0.00002417*
b(1,5)	0.009870473	0.004613127	2.13965	0.03238312**
b(2,1)	0.057952646	0.014231100	4.07225	0.00004656*
b(2,2)	0.922647933	0.008468068	108.95613	0.00000000*
b(2,3)	−0.130431483	0.009551626	−13.65542	0.00000000*
b(2,4)	−0.027482205	0.013839375	−1.98580	0.04705575**
b(2,5)	−0.008396569	0.005353815	−1.56833	0.11680325
b(3,1)	−0.137562846	0.011358234	−12.11129	0.00000000*
b(3,2)	0.044021149	0.009691062	4.54245	0.00000556*
b(3,3)	0.954285332	0.007479993	127.57837	0.00000000*
b(3,4)	−0.002818504	0.010557215	−0.26697	0.78948901
b(3,5)	−0.019626351	0.004918574	−3.99025	0.00006600*
b(4,1)	0.111126812	0.013944281	7.96935	0.00000000*
b(4,2)	0.086215454	0.007852146	10.97986	0.00000000*
b(4,3)	0.081539408	0.009531739	8.55452	0.00000000*
b(4,4)	0.936867536	0.004656983	201.17479	0.00000000*
b(4,5)	0.022584372	0.004248512	5.31583	0.00000011*
b(5,1)	−0.004403585	0.009694522	−0.45423	0.64966017
b(5,2)	−0.004967523	0.007580649	−0.65529	0.51228108
b(5,3)	0.030150342	0.008305727	3.63007	0.00028335*
b(5,4)	−0.015069785	0.008409466	−1.79200	0.07313257**
b(5,5)	0.961145014	0.004307193	223.14882	0.00000000*
Model diagnostics
ARCH LM	2,493.65			0.0008

Parameters	Coefficient	SE	t-statistics	Prob.
μ₁	0.075345644	0.025824804	2.91757	0.00352772*
μ₂	0.065833098	0.019543558	3.36853	0.00075570*
μ₃	0.047470929	0.021133112	2.24628	0.02468595**
μ₄	0.035911485	0.021459451	1.67346	0.09423721***
μ₅	0.004079988	0.015394922	0.26502	0.79099276
c(1,1)	0.229502448	0.031241093	7.34617	0.00000000*
c(2,1)	0.109359747	0.024112911	4.53532	0.00000575*
c(2,2)	0.206119394	0.011450294	18.00123	0.00000000*
c(3,1)	0.140077111	0.028026987	4.99794	0.00000058*
c(3,2)	0.130089156	0.025066447	5.18977	0.00000021*
c(3,3)	−0.050133447	0.021776303	−2.30220	0.02132379*
c(4,1)	0.128464659	0.024017483	5.34880	0.00000009*
c(4,2)	−0.060482306	0.030969161	−1.95298	0.05082138**
c(4,3)	0.100949177	0.045293567	2.22878	0.02582887**
c(4,4)	0.091923995	0.033091132	2.77790	0.00547108*
c(5,1)	−0.046919150	0.010980810	−4.27283	0.00001930*
c(5,2)	0.023549815	0.012542412	1.87761	0.06043392**
c(5,3)	0.000773416	0.016257004	0.04757	0.96205549
c(5,4)	0.051855647	0.014455978	3.58714	0.00033432*
c(5,5)	−0.001568240	0.029834503	−0.05256	0.95807878
a(1,1)	0.044947848	0.020025045	2.24458	0.02479500**
a(1,2)	0.065982223	0.015807728	4.17405	0.00002992*
a(1,3)	−0.047176780	0.016819316	−2.80492	0.00503296*
a(1,4)	0.085967928	0.015654973	5.49141	0.00000004*
a(1,5)	0.031380032	0.009180966	3.41794	0.00063096*
a(2,1)	0.038071641	0.015855790	2.40112	0.01634501**
a(2,2)	0.129085538	0.013160646	9.80845	0.00000000*
a(2,3)	0.165386250	0.012266274	13.48301	0.00000000*
a(2,4)	0.039450365	0.019862573	1.98617	0.04701491**
a(2,5)	0.014619467	0.009264733	1.57797	0.11457261
a(3,1)	0.169276863	0.016534583	10.23775	0.00000000*
a(3,2)	−0.046464943	0.016580751	−2.80234	0.00507330*
a(3,3)	0.117908448	0.014764519	7.98593	0.00000000*
a(3,4)	0.087959104	0.018739165	4.69386	0.00000268*
a(3,5)	0.008887421	0.010841846	0.81973	0.41236821
a(4,1)	−0.211193576	0.014983040	−14.09551	0.00000000*
a(4,2)	−0.129776856	0.011963119	−10.84808	0.00000000*
a(4,3)	−0.154583318	0.012060675	−12.81714	0.00000000*
a(4,4)	0.272512838	0.016813667	16.20782	0.00000000*
a(4,5)	−0.053524886	0.008414304	−6.36118	0.00000000*
a(5,1)	0.050644088	0.014595182	3.46992	0.00052062*
a(5,2)	0.027826194	0.009745112	2.85540	0.00429826*
a(5,3)	0.015617580	0.013850870	1.12755	0.25950906
a(5,4)	0.061550069	0.017951891	3.42861	0.00060668*
a(5,5)	0.259371223	0.012874033	20.14685	0.00000000*
b(1,1)	0.967843326	0.008573333	112.88998	0.00000000*
b(1,2)	−0.026142173	0.007346966	−3.55823	0.00037337*
b(1,3)	0.069679133	0.008550430	8.14920	0.00000000*
b(1,4)	−0.057286191	0.013567246	−4.22239	0.00002417*
b(1,5)	0.009870473	0.004613127	2.13965	0.03238312**
b(2,1)	0.057952646	0.014231100	4.07225	0.00004656*
b(2,2)	0.922647933	0.008468068	108.95613	0.00000000*
b(2,3)	−0.130431483	0.009551626	−13.65542	0.00000000*
b(2,4)	−0.027482205	0.013839375	−1.98580	0.04705575**
b(2,5)	−0.008396569	0.005353815	−1.56833	0.11680325
b(3,1)	−0.137562846	0.011358234	−12.11129	0.00000000*
b(3,2)	0.044021149	0.009691062	4.54245	0.00000556*
b(3,3)	0.954285332	0.007479993	127.57837	0.00000000*
b(3,4)	−0.002818504	0.010557215	−0.26697	0.78948901
b(3,5)	−0.019626351	0.004918574	−3.99025	0.00006600*
b(4,1)	0.111126812	0.013944281	7.96935	0.00000000*
b(4,2)	0.086215454	0.007852146	10.97986	0.00000000*
b(4,3)	0.081539408	0.009531739	8.55452	0.00000000*
b(4,4)	0.936867536	0.004656983	201.17479	0.00000000*
b(4,5)	0.022584372	0.004248512	5.31583	0.00000011*
b(5,1)	−0.004403585	0.009694522	−0.45423	0.64966017
b(5,2)	−0.004967523	0.007580649	−0.65529	0.51228108
b(5,3)	0.030150342	0.008305727	3.63007	0.00028335*
b(5,4)	−0.015069785	0.008409466	−1.79200	0.07313257**
b(5,5)	0.961145014	0.004307193	223.14882	0.00000000*
Model diagnostics
ARCH LM	2,493.65			0.0008

Notes: This table shows the estimates of the multivariate GARCH-BEKK model. 1, 2, 3, 4 and 5 denote, respectively, Hungary, Poland, Czech Republic, Romania and Croatia. The parameters c_ij, a_ij and b_ij are the off-diagonal elements of the matrices C, A and B, respectively, as presented in Section 2. *,**,***Significant at 1, 5 and 10 percent levels, respectively

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